Internet Explorer 9
Open Internet explorer window
Click the “Tools” button
Point to “safety” and then click “delete browsing history”
Tick the “cookies” box, then click “delete”
Internet Explorer 8
Click "Safety" on the Command bar
Select "Delete Browsing History"
Select the option for cookies and click Delete
Alternatively, Internet Explorer 8's new InPrivate browsing feature allows users to browse the internet without recording information from visited sites (including cookies). To use InPrivate mode:
Click "Safety" on the Command bar
Select "InPrivate Browsing"
Internet Explorer 7.x
Exit Internet Explorer 7, and then exit any instances of Windows Explorer
Click Start, click Run, type inetcpl.cpl, and then press ENTER
On the General tab, click Delete under Browsing History in the Internet Properties dialog box
In the Delete Browsing History dialog box, click Delete Cookies
In the Delete Cookies dialog box, click Yes.
Internet Explorer (all other versions)
Internet Explorer saves cookies in more than one location, depending on the version of the browser and the version of Microsoft Windows being used.
The best way to find and delete them is to close Internet Explorer then use your file management software (such as Windows Explorer) and search for a folder called 'cookies'.
http://www.aboutcookies.org/page-2