Windows doesn't delete your cookies, it's your browser. Browsers run on different OSes. An OS and a Browser are 2 different programs, they are not one and the same as your statement implies.
cookies also stored at windows folder and that cookies hold your Username and password
and only a particular browser can read that cookies, if you did log-in at site just don't forget to click on "never at this site"
so that windows do not stored your username and password within the folder.
if you are using IE8,IE9 you can configure like this (see picture)
Regards!!!