I don't use Explorer but e-mail links sometimes do. I have setting set to remove all cookies when and browser exits but although all firefox are deleted often Explorer cookies remain. They can be removed manually and if I actually open explorer there is no problem. It is simply cookies that have been used after following an outlook link
if you make Firefox your default browser, Outlook links will use Firefox and you can avoid Internet Explorer altogether if you wish.
what are your CC and Windows versions?