It's on your %username% menu on the start menu, or "C:\Users\%username%\Cookies" but Windows won't let you see the contents.
To open it download and run "Take Ownership" available from "How to Geek".

Full instructions are there.

I think this is a "virtual" file, ie it's not actually a file but a set of references, like a "library", because the same content appears in various places, and deleting something in one deletes other occurences as well.

Personally I just set up ie and ff to delete all on exit, this just leaves the hassle of logging into Mudcat every time I feel like pontificating. Don't need any other cookies.