I think he might be refering to the Documents and settings folder. In each users folder there is one called "cookies"
In mine the folder is only 83kb, 800mb is allot of cookies!! gonna need some milk to wash them down!!

I never tried the programs Hagar mentioned but I will.
Usually when I'm done "browsing" I clear all stored cookies, I don't ever use IE (reasons explained in other posts) but in Netscape it is easy, there is a "cookie manager" where you can remove all cookies or save certain one that you want.
I also notice that Netscape doesn't keep a folder on your harddrive like IE, thus another reason I don't use IE!! A web browser shouldn't put anything on your HD without approval.
But that is M$ for ya!