These files are pointers to the actual cookies that are located in the
Windows\Cookies folder. To retain the association between these
pointers and the actual cookie files, they are not deleted when you empty
the Temporary Internet Files folder. However, if you manually delete a
cookie file from the Temporary Internet Files folder, both the pointer to
the Cookies folder and the cookie file located in the Cookies folder are
deleted.
Cookies are files that are written to your computer about you and
your visits to Web pages. For additional information about cookies, click the article number below
to view the article in the Microsoft Knowledge Base:
154360 Information About the Security Alert Message for Cookies in Internet Explorer and Outlook Express