Thanks for the idear guys, but I don't yet have the solution. I already had the Cookie/URL delete turned off and I am not running Zone alarm but the Vista Firewall. When I say I cannot connect to the Net after a CCleaner run, I am I am totally unable to connect and my ADSL modem is tellin/showing me that I am not connected, as with a red cross on the Windows schematic. I cannot connect to anything, even sites I know that do not require cookies.
I suspect it is something in the Advanced settings because it was only after I opened these that I have had problems.
Any more ideas? I'd appreciate the help.