I don't see that as an option in Safari so my first thought is that one of your "cleaners" is doing this for you.
Try looking through the preferences of any of the cleaners that you have installed to see if that option appears there.
P
I have a macbook,13",intel laptop. I tried a couple of apps/cleaners. Now my problem is that the cookies get erased every time I quit safari. I tried all the basic preferences for cookies, but the problem is still there. Any help would be appreciated.

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