Hi,
As an FYI, Internet Explorer 7 was released on Wednesday evening. It's the complete version (not release candidate or beta) and is downloadable from Microsoft.com. It won't show up on Windows Update for a week or two yet.
Regarding the bug in CCleaner: As others have said here, disable the index.dat deletion. On my system, this did not work by itself, I also had to disable the run at startup option. This was key, as the IE 7 cookies were being deleted at startup. When run from the Start Menu or Quick Launch bar, the IE 7 cookies were saved.
Regards,
Nathan