o find just about anything in Vista, you simply start typing its name at the Start menu. When you type cookies, it points you to 'C:\Users\username\cookies'. Click on the link and you get an 'Access Denied' slap in the face. In actual fact, that path is just a kind of pointer. The cookies are stored in a completely different location.
Open Windows Explorer, press 'F10' to see the menu, then select 'Tools->Folder Options'. Click on the 'View' tab then find the option to 'Show hidden files and folders' and check it. Find 'Hide protected operating system files' and uncheck it. Now you can navigate to the actual folder, which can be found in 2 locations:
If you like, you can put shortcuts to these on the Desktop or elsewhere, just right-drag the folder, let go, and select 'Create shortcut(s) here'. These shortcuts will work even if you change the Windows Explorer options described above back to their default values.