If you go to Internet Options and clear your Temporary Internet Files, your cookies will remain, and they will have to be removed separately.
You can do that there as well: Settings/Show files/select all, and delete them.
About Temp internet files, here's a little tip:
Go to tools/Internet Options, advanced tab, and check " Empty Temporary Internet Files folder when browser is closed".
That way you'll never forget again.
And about cookies:
How to Delete Cookie Files
How to Set and Customize Cookies Settings in Internet Explorer
What I used to do, is export my vital cookies, meaning the ones you really need to log in at sites like this, through Internet Explorer/File/Export/cookies.
I then let my cookies accumulate again, and every week or so I deleted everything, and restored my backup of the essential cookies.
You could also put sites you don't want to receive cookies from in the Restricted Zones (Internet Options/Security), or install a dedicated cookie manager, which will allow you to differentiate between cookies you always want to allow, and the ones you always want to block.
Good luck,