Well, here's the problem: If I run CCleaner during windows session it cleans everything as it is configured to. But, if I check the option that it should run at startup, it does run, and it cleans everything it should, except it doesn't clean cookies in "temporary internet files" folder. So, I have to run it later manualy to clean up cookies in this folder.
I don't know if this is a bug or just something that couldn't be done at startup due to nature of windows(windows xp sp2).
It's a great software though. Keep on rollin'.