the cookie is a session cookie. Once the browser is closed the cookie will expire, so when restarting the browser you will have to logon again. A sample rule set is part of the rule library that comes with the product. It has user database configured as the authentication backend by default, but should immediately work. You can also change it so use NTLM of course. You can either use the "normal" popup that the browser produces to login, or use a form based authentication.
Please note that you have to allow "third party cookies", otherwise you will see some strange results (embedded objects missing).
I would recommend to load the included rule sets into a test machine and have a look. It should work pretty much out of the box.