Internet Explorer Does Not Clear All Cookies
However, Internet Explorer 8, by default, will not delete cookies created by sites that are in your Favourites. This is so the sites you visit frequently will retain their information, but sites you do not have bookmarked will have their cookies cleared. And thus, if you delete all the stored cookies because you are having a problem with a site, the problem remains because the cookies are not cleared.
To remove all cookies:
This setting, once set, will remain.
Note that deleting browsing history may take a long time if you have a large cache as there could be thousands or tens of thousands of files. During this time the system will be sluggish or may not respond. Wait until the progress indicator has disappeared.