The way I delete them is from Explorer then I know they are gone.
Right click Start button select Explorer locate the Cookies folder and open it. Click anywhere in the right hand window hold down Ctrl+A then just press the Delete key (after the prompt to ensure you want to delete them all). This will then send them to your Recycle bin. You can do this for History, Temp and Temp Internet files.
Once they are in the recycle bin empty the bin.
One thing of note though, when deleting cookies if you have your username & password saved by an Internet site i.e. PCA the next time you log in you will have to re-entre your settings.