Then move on to "FIREFOX" browser which has a better tools/options in these matters. I suspect you keep with IE7, that yeah, all history is gone to include cookies. You can try looking at some IE add-ons or support pgms. to see if they address this issue, but I don't as I use Firefox all the time. Check at this website for possible pgm cures:
http://www.majorgeeks.com or any similar websites for files.
I'm using Vista and in the control panel under internet options is where I delete my browsing history. The thing is, it makes me delete all of it; what if I only want to remove cookies and leave my saved passwords?