Location header problem!

The Location header is a 'special case' right? I'm using it to make the
client's browser redirect after being logged-in. I've since found smoother
ways of doing this, but one of my sites relies on Location headers. With my
previous hosting company, they worked as expected - after logging-in and
having cookies set, the client would request the next page, and send the
cookies along, so that 'next page' knew he was logged-in right away.

The servers I've moved to seem to interpret the header before it's sent (if
this is possible). At least, that's what it appears to be. Instead of the
client redirecting, the server just sends the new page as if it were part of
the form-processing page. The only real down-side to this is that the cookie
isn't sent by the client (the client evidently isn't making a new request),
so the session isn't started (propagating sessions by cookie only).

Is there a way to force a 302 redirect? I haven't tested the server's
methods fully, but surely there's a way to force the CLIENT to request a new
page?

Thanks