The Cookies tab is fairly straightforward in that cookies contained in the left hand list will be deleted when running a clean (if you have cookies set to be deleted on the Interent Explorer tab) and cookies contained in the right hand list will not be deleted.
A new addition is the ability to right click on a saved cookie and physically delete the cookie from your hard drive. This comes in handy when you have the option selected to save cookies that match IE favorites. In the logic I use, I am searching for the domain name from the cookie in your favorites. If any part of the word exists then the cookie will be saved even though it's not one that you would actually like to keep. Rather than removing all of your saved cookies you may just hightlight the offending cookie and delete it by right clicking and selecting delete.
Explanation of cookies
