Hi whrx.
If you're using the latest versions of IE and Firefox, you may have noticed quite a few topics recently on the subject of cookies sticking in the "Cookies To Delete" window in "CCleaner\Options\Cookies".
If that's the place where you are seeing cookies even after running CCleaner, then I'm pretty sure that CCleaner is actually deleting some cookies for you, but leaving that ever growing list mainly because of the now more popular "settings.sol" files or "Flash Cookies" as they are more commonly known.
On the point you raised about all cookies being bad, that depends upon whether you visit, or are a member of, any particular web sites where you would like to retain log-in or settings details.
This information is stored in either normal "text cookies", or in "settings.sol" files, which need to be retained whilst all other cookies are deleted. So if you think you may need to retain certain site information, then we'll cover that later if need be.
Before we start going through various checkboxes, I would suggest downloading the latest "winapp2.ini" file from the end of the first post HERE.
It will be in Zip form and once downloaded you will need to unzip it to CCleaners installation folder, "C:\Program Files\CCleaner". To do this, right click the Zip file and select "Extract All", and use the Wizard popup to navigate to the CCleaner folder.
This will add cleaning routines for one or two Macromedia Flash versions.
Once that's done, then firstly, in the "Windows", and the "Applications" sections of CCleaner, make sure all the check boxes for your browsers have the "cookies" boxes checked, as well as all the other boxes normally checked by default. If for some reason there is also a check box for Opera, which you don't use, make sure it's checked as well.
Also make sure everything in the "Applications" and "Internet" sections, in particular "Adobe Flash Player" and "Macromedia Shockwave", are also checked.
The latter will probably be an asterisked entry, which means it is from the winapp2.ini file you installed.
That's about it I think. Run CCleaner with all of the above in place, and hopefully that should clean all cookies for you.
I hope I haven't gone overboard with the detailed instructions, and if you have any problems with anything above, just post back.
NOTE: To get the versions of your browsers, the version number is usually located in "Help\About" in the browser menu.