Cookies stored in the App Data folder

Good evening geeks, running XP Home SP3

My primary virus and malware protection is Norton 360, but I run several others on the weekend from an external drive. SAS always finds quite a number of cookies stored in various Application Data folders, so it appears that cookies are being backed up? I clean it up every weekend but mostly the same cookies are there the following week, I have a tendency to visit the same sites regularly. I block third party cookies through my browsers. Is there a way to stop this?