Hello Ian,
I don't know how you can clean, selectively, cookies from within Internet Explorer.
My OS is Windows XP and the IE version installed is 7.x and it doesn't allow me to choose which cookies to allow or remove. The option commanding this option is completely opaque.
In FireFox there's an option to totally close permission for cookies and then an option that lets me to chose exceptions. this option, in Firefox is totally open letting me delete cookies one by one . I use Firefox and like it for technical reasons.
If you can't control the cookies from within IE, then you can use a free tool called CCleaner (www.piriform.com/CCLEANER ) that lets you clean, among many other items, selectively, cookies Internet Explorer.
I am one more guy abhorring IE. For both ethical and technical reasons.
Best regards
Dias Costa