Cookies aren't a big worry to be honest, as Millay has said, but at the moment you are running adaware on a clean install so cookies will be about all you see, give it a while and the little background apps will start sneaking in and those are the problematic ones. I run adaware regualarly and have spybot running in the background yet the new MS beta spyware tool picked up stuff that spybot had been ignoring or missing for quite some time
While you have a clean system at the moment it's good to see you being proactive in keeping it that way
Oh and on the cookie front you can control what cookies are created but it may impede some sites from working correctly. Something to think about though
