 Remember, when you check, be sure to use common tools...
Firefox cookies are not seen by Internet Explorer tools and visa versa.
The way i proved this is using purely Firefox. I deleted all cookies in Firefox. I opened my email within Firefox. I saw the new cookies for the email site created.
Then, I opened ebay messages one at a time and was able to pick off exactly which ones created cookies. All within Firefox. Of course, Cookie Monster would be oblivious to the Firefox cookies and would not show anything.
To do the same in Explorer with Cookie Monster. Use Cookie Monster to delete all the cookies. Open up yoru emails in the Explorer browser (used incidentally by Outlook and Outlook Express). Cookie Monster will show which messages generate cookies. However, I have noticed Cookie Monster not being totally accurate all the time. Liek i will show no cookies and you say delete cookies and it says it deleted 3.
So, you may have to stop and restart cookie monster to actually see anything. Should have a refresh button.
But Firefox is your best detective because it gives the most integrated control over cookies.  | 
