Nope--you don't need to purchase a thing.
Here's the scoop: Microsoft Antispyware, now re-christened "Windows
Defender" will soon be rejuvenated as Beta2. It will be significantly
improved over the current product, in terms of detecting, cleaning, and most
importantly, preventing spyware from getting a foothold on your system.
However, there are differences between Giant's product and Microsoft's. One
of those differences is in the area of detecting cookies as spyware.
Microsoft is not differentiating between various cookies.
If you feel that cookies are a significant threat to your privacy, I'd
recommend Lavasoft's ad-aware free personal version. It scans for and
allows optional removal of cookies, and differentiates between them on a
basis that you can read about in their literature. It's free, and updated
regularly.
It isn't free for business use, however. Spybot Search & Destroy is an
alternative that is free for both business and home users.
So--in your situation, I'd get Ad-aware, and run it once a week, or a month,
or whatever, to remove cookies--and leave the rest up to Microsoft
Antispyware.