Thanks, Hazelnut. I went through the top three sections of the Cleaner item by item and deleting the Index.dat files does seem to have caused the problem.
The cookies of concern were those sites to which one may set up data such as portfolios as they can be a pain to replace.
I have assumed the problem was the new IE7 and I am still investigating the changes to the Security & Privacy Zones made by MS.
Thanks again.