You must be the newest member of the I hate windoze club..................
Find out the directory is that store cookies , reboot the machine. hit F8, boot in dos mode use the command line :
cd/: ( to where the cookies are stored) it might be a few sub-directories away from the c: prompt).
then type "del *.* "
voilà done.
I have a script ( autoexec) that deletes cookies and swapfile every time the system boots, I then use a wipe tool once a week( shred- a free down load from ZD magazines) to clear the traces of my activities.