Попробуйте это:
WebBrowser browser;
...
browser.ObjectForScripting = new ScriptingObject();
...
browser.DocumentText="<a onclick=\"window.external.WantCookie('Cookie')\">Give some cookie</a>";
....
[System.Runtime.InteropServices.ComVisible(true)]
public class ScriptingObject
{
public void WantCookie(String message)
{
if(message=="Cookie")
MessageBox.Show("Thanks");
else MessageBox.Show("I want Cookie!");
}
}