I assume you are using the latest version (1.22.142) as the interface has changed a bit.
Start CCleaner, go to Options and then click on cookies. If you have not done this before, all of the cookies should be on the left side. Highlight the ones you want to keep and move them with the arrow buttons to the right side.
Then go back to the Cleaner window and under Windows, make sure the "cookies" check is checked (if you are using I.E.). It will delete only the "cookies to delete" in the above paragraph. If you are using Firefox, the setting is under Cleaner / Applications.
Having said that, I acutally use a separate cookie management program, also free, called Cookie Monster for several years. http://www.ampsoft.net/utilities/CookieMonster.php
If you use it, be sure to UNcheck cookies in the two places above and let Cookie Monster handle them for you.