I have this same issue where CCleaner isn't displaying all of my cookies. In fact, it only displays one from msn.com no matter how many websites I visit, which I think is from my desktop widgets. Actually, I just opened Internet Explorer to merely check the version for this post and now it's showing all of the third party cookies from the default MSN startup page, so it would appear that CCleaner is only displaying cookies from Internet Explorer and not Firefox, which is the one that I use.
Here are my browsing specs: MS Windows 7 Home, Firefox 3.6.2, Internet Explorer 8 (never used), and CCleaner 2.30 installed in OS (C:)\Program Files(x86)\CCleaner. (Note: this has been a problem with every version of CCleaner and Firefox installed on my Windows 7 machine. It works fine with my Windows XP SP3 machine). Adobe Flash plugin is installed but doesn't appear as an option to check anywhere within CCleaner. The only multimedia applications available to check are Media Player Classic and Windows Media Player, both of which are checked.
Any further advice would be greatly appreciated. Cheers.
Edit note: My Windows 7 version is 64-bit.