You have IE7,try this LINK
Not sure about saving,though there are options.Tools>internet options>privacy tab>advanced button.
If you are using ccleaner which has an option to enable,or not enable index.dat which will delete IE cookies.
Tom
Is there a way with Vista to save the cookies you want to keep?
Where do you go to see all stored cookies and select just the ones you'd like to delete?

Chowhound
Comic Vine
GameFAQs
GameSpot
Giant Bomb
TechRepublic