If you want to delete all the cookies on your hard disk, you can do it in Internet Explorer. Choose Tools | Options and click Delete Cookies. If you use a different browser, or just like to look at cookies before you delete them, you also can delete them like any other file using Windows Explorer.
In fact, rather than dumping all the cookies, you may find that some are worth keeping. For example, if you log into a particular site a lot, you may want to keep the cookie that remembers your log in information. To check out your cookies in Windows XP, navigate to C:\Documents and Settings. Under your log in name, you'll see a folder called Cookies. (In earlier versions, the folder was called Temporary Internet Files.) You can tell what site the cookie came from by scanning the name. You can even look at them in Notepad, although they aren't very interesting reading.
Like a lot of things, once you have glimpsed a cookie, you'll find it's not really scary after all. And with one press of the Delete key, it's gone.