Cookies- Where are they?

I use XP so this may not bear any relation to vista.
Cookies can be stored in a number of places, Temp files or cookie folder.

Use AVG antispywear to find "the bad ones".

In XP there is a file called "cookies" C\: <documents and settings>, <user name> <cookies>

I'm not worried about deleting cookies. Rather, I'm working on an online puzzle that, I think, requires me to change some information in a cookie. I've looked, but I couldn't find them. I tried what you said, but found nothing. I've also tried the "Temp" folder in C:/Windows. Still nothing.

Just go to tools in exploror - internet options - settings under browsing history on the first tab - view files

Or look in C:\Documents and Settings\Username\Local Settings\Temporary Internet Files

Also, ensure that you do not have folders/files hidden in some cases.