I was going to post the message below but a search for 'explorer' brought me to this thread.
Every time I run CCleaner all my cookies are deleted even though the check box next to cookies is de-selected. I thought this was a problem with recent releases, but going back to v1.34.407, which worked OK when I was using IE6, I still have the same problem.
I still have this problem unless 'index.dat' is un-checked, using the latest version of CCleaner.