1. Open Internet Explorer, select Tools (or the cog wheel icon in the upper right corner)
2. Select Internet Options
3. On the General tab, click Delete.
4. Uncheck the Preserve Favorites website data check box
5. Select the check box next to Cookies and Temporary Internet Files.
6. Click Delete.
Full instructions on how to delete cookies for all versions of Internet Explorer: http://support.microsoft.com/kb/278835#appliesto