How to save some cookies, delete all others

From within Options it's delete all or none. You can either download a third party cookie manager, there are plenty of free ones to be found, or if don't mind doing things the manual way you can accomplish what you're trying to do by opening windows explorer and navigating to the C:\Documents and Settings\"My User Name"\Cookies and deleting the ones that you don't want.

You might also want to open Internet Explorer Properties, click on "Delete Files" under Temporary Internet Files" then open Windows Explorer, navigate to C:\Documents and Settings\"My User Name"\Local Settings\Temporary Internet Files and delete all of the cookies from here that you don't want or need. Doing this will in turn remove the corresponding cookies from C:\Documents and Settings\"My User Name"\Cookies.

HTH

You can set CookieCop2 to automatically reject all cookies and then specify each time you go to a site where you want the cookies that you want to allow them (some sites are not accessible at all without cookies). It also allows you to remove cookies for sites you have not allowed.

It also allows you to block sites completely, and to ask before opening a popup (but misses some still). It can scan js for cookies and maintain a DNS cache.

This lowers my cookie number down to the 150 or so that I want to keep.

http://www.pcmag.com/article2/0,4149,3346,00.asp

Have you tried Spy-Bot Search & destroy? Excellent programme with an exclude option for cookies,and is a great spyware remover.
I don't have a link,but I'm sure someone in the forum has!
Or go to www.webattack.com and look under Freeware for disk cleanup utilities.
Hope this helps