Thank you very much for your help. I finally manage to autenticate and retrieve files from my rpc server. Here is my syntax in case anyone needs it.

    // USER LOGIN
    $authenticate = xmlrpc($settings['server'], Array('user.login' => array($settings['user'] , $settings['password']),));
    
    // CREATE HEADERS
    $options['headers']['Cookie'] = $authenticate['session_name'] . '=' . $authenticate['sessid'];
    
    //RETRIEVE FILE
    $file= xmlrpc($settings['server'], Array('file.retrieve' => Array(Array("fid"=>$fid),Array("file_contents"=> 'true'),Array("image_styles"=>'true') )),$options);


EDIT: AFTER SERVICES 3.5 you should do:

    // USER LOGIN
    $authenticate = xmlrpc($settings['server'], Array('user.login' => array($settings['user'] , $settings['password']),));
    
    // CREATE HEADERS
    $options['headers']['Cookie'] = $authenticate['session_name'] . '=' . $authenticate['sessid'];
    
    // GET TOKEN
    $token = xmlrpc(url($this->endpoint, array('absolute' => TRUE)), array('user.token' => array()), $this->headers);

    //INSERT TOKEN INTO HEADERS
    $options['headers']['X-CSRF-Token'] = $token['token'];
    
    //RETRIEVE FILE
    $file= xmlrpc($settings['server'], Array('file.retrieve' => Array(Array("fid"=>$fid),Array("file_contents"=> 'true'),Array("image_styles"=>'true') )),$options);