You very likely have IE6 (someone will hopefully correct me if I'm wrong).
For your cookies:
Tools (at the top) > Internet Options > Delete Cookies (button in the General tab)
Unfortunately, it doesn't look like there's a way to delete individual cookies. A forewarning, if you delete all cookies, any saved log-in information you have will be erased and you'll have to re-log into other places you visit.
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