To tell you truth, I am not sure if there should be more cookies. I think windows defender is doing its job. What's more my Internet Explorer 7 is set to Medium, the description of which says that it blocks almost all third-party cookies, if not all.
The reason I think there may be more cookies is because when I installed Spy Sweeper, it detected about 40 cookies and deleted them. But as I already said it causes other severe issues, is very resource-demanding, and installs about 3 services, a driver and what not. Naturally, I uninstalled it. Then, I decided to try Spyware Doctor. As a matter of fact, it looks almost identical to sweeper, again with 3 services and a driver, and again it cleaned about 30 cookies but still caused severe issues, and I uninstalled it too.
At this point, I feel reluctant to try more anti-spyware solutions besides defender, which I am already using, and spybot. I also do not want to try Ad-Aware 2007 because from what I read in their forums, it also looks like a disaster, and again installs a permanent service. I used to run Ad-Aware 1.06 on XP, and it did a fine job, but I just don't think AAW 2007 will be worth it.
That's about it, now I am using Defender, Avast (which works really good with vista), and spybot. And that's why I decided to try and post about the cookie issues in these forums. I also know that tracking cookies aren't really dangerous, but still I could do without them. That's what I can say right now.