A much better tool for this is ccleaner - www.ccleaner.com.

HTH
-pk

No, Disk Cleanup does not touch your Cookies folder.

The "cookies" in the Temporary Internet Files Folder are just pointers to
the real cookies.  Like a shortcut to the real cookie.

Real cookies are stored here >>
%userprofile%\Cookies
or
C:\Documents and Settings\Your Name Here\Cookies

<quote>
When you empty the Temporary Internet Files folder in Internet Explorer,
files that start with the word "Cookie" may remain in the folder.

These files are pointers to the actual cookies that are located in the
%userprofile%\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.
<quote>
from...
Emptying Temporary Internet Files Folder Leaves Cookies Files
http://support.microsoft.com/kb/158769

Description of the Disk Cleanup Tool in Windows XP
http://support.microsoft.com/default.aspx?scid=kb;en-us;310312

Explains the available options for Disk Cleanup...
How to Automate the Disk Cleanup Tool in Windows XP
http://support.microsoft.com/default.aspx?scid=kb;en-us;315246