I seem to have lost control of my cookies

Hello, just lately i do not seem to be able to find my cookies folder. I am now having trouble ordering items from sites such as Amazon.co.uk and M&S. On Amazon it tells me that my cookies are not enabled. I have checked Internet tools on security and privacy and they are both set to medium as recommended. Also on microsoft auto update i cannot update and install "Security Update for Microsoft Office XP (KB921596)". Does anyone have any idea what is going on????? I am using AVG free 8.0 and windows defender seems to have sprung a life of it's own and has started up in the toolbar on bottom left and i cannot stop it. This all seems to have started at the same time. Confused muchly!

Regards

Dave. :confused