ccn.com cookies?

I use FF 2.0.0.5. I recently filled out the "local weather" box at cnn.com, which is currently my home page, and for some reason when i run CCleaner, that particular cookie does not clear out. I'm not saving any cookies, don't have a cnn.com account if there is such a thing. I just simply entered the area code and now the site knows it. Anyone know what's going on there?

Ok, never mind I think I found the problem. I just checked the privacy tab on FF and saw cnn cookies there. I thought CCleaner was supposed to clear all that stuff out?