Win,
You can relax. Cookies can't search through all your files.
Cookies are not something which you need to worry about too much. These files are little lists which the websites you visit leave on your PC. The websites do this so that, were you to visit them again, they can provide thr right service for you.
I'll give you a common example. Most website advertising will place a cookie file on your PC. This file will be a simple record of the Ads you have been shown. The next time you visit the website the cookie file will be read by the website to ensure that the site does not show you the same Ads again.
The reason you will have heard about Cookies in relation to security is that it is possible for a website to read all cookie files, rather than just the file it has left on your PC.
It sounds like you have all the right tools to keep your PC safe. If you ensure that your Browser's Security settings are not too low I shouldn't think that you have much to worry about.
Jason
September 2004