These files are pointers to the actual cookies that are located in the Windows\Cookies folder. To retain the association between these pointers and the actual cookie files, they are not deleted when you empty the Temporary Internet Files folder. However, if you manually delete a cookie file from the Temporary Internet Files folder, both the pointer to the Cookies folder and the cookie file located in the Cookies folder are deleted.
Cookies are files that are written to your computer about you and your visits to Web pages. For additional information about cookies, click the article number below to view the article in the Microsoft Knowledge Base:
Information About the Security Alert Message for Cookies in Internet Explorer and Outlook Express