May or maybe not the same problem, but similar. I don't check the clean cookies, but I still lose cookies. The only thing that I saw remotly related to cookies when I run analyze is ==>
documents and settings\xyxyxy\cookies\index.dat
My cookie folder still has cookies in it, but the index.dat file is recreated when I enter IE. And the sites I want the cookies for, don't see them.
Using IE7, XP home Sp3 (up to date), but CC v2.15.815
will be update CC now, so I'll see if this continues.