Cookies are not an issue.
Many malware companies detect them as a way to boost the perception of
their effectiveness.
Since cookies are everywhere on the net, this false boost is easy.
Windows Defender does not detect cookies.
My guess the reason they are not detected is because Internet Explorer
and most other browsers already give you tight control over cookies.
There is only one reason I feel Windows Defender needs to detect
cookies.
That is because many see cookies caught by many malware detectors and
mistakenly believe programs that do not detect cookies lack.
The program detecting cookies gives no real protection, but it can
help the less informed feel better.
Use Ad Aware and Windows Defender.
Multiple programs increase the probability of getting everything.