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Are you sure it's a cookie or is it the index.dat file. If the file is named index, then it's not a cookie and you can't delete it because it's always in use by windows. There's applications available that will delete the file or you can delete it by logging on to another account and delete it from there. Each user account has it's own cookie folder (and index.dat within it). Yours won't be in use when logged onto another account though.
If you only have one user account, you can boot to safemode and log on to XP's built in administrator account there and delete the file from there.
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