In Firefox, Click Tools, Click Options, Click the Privacy Tab, Cookies is the center item, Click Show Cookies.
In Internet Explorer, Click Tools, Click Internet Options, Click the General Tab, Temporary Internet Files is the center item, Click View Files, look for Cookie: (site name)
Ps, I use Firefox for going to places like Perb. Firefox is set to allow cookies during sessions, but to delete all cookies at the end of the session.
I use IE for going to my Internet Mail and Banking sites, IE is set to permanently store cookies.
Cookies are configurable by the site that sets them. Some site's cookies are benign and do nothing more then provide (in binary form) the info that DNS servers use to quickly route your page view requests. Some site's cookies are intrusive and can track the sites that you visited other than the site that set the cookie. When a site is setting a tracking cookie, they get all that tracking information every time you go to their site.
That's why it is well to separate your needed activities like banking and mail from your entertainment activities like looking for porn. My Banker may assume that I'm a Dirty Old Man, I feel no need to confirm it to them so that they know I'm a Dirty Old Man. Nor do I want my online needlework buddies to know that I come to Perb sometimes.