Win98 puts cookies in 'C:\windows\Temporary Internet Files'.
Windows NT 4.0 puts cookies in '%systemroot%\Profiles\[username]\Cookies'.
Win2K puts cookies in '%systemroot%\Documents and Settings\[username]\Cookies'.
Windows 3.11 never gets far enough to use cookies, and displays a GPF error <G>.
Depending on what you use to browse the directory structure, you may or may not see the directories. For instance, in a DOS shell, under NT, the Cookies directory is hidden, unless you provide the '/a' command line switch. I think the same may be true of setting the correct options in 'Windows Explorer', but I never use that, so I can't tell you for sure.
--Chris
e-mail jcwren