In IE/tools/internet options/General tab/browsing history/settings (at least in my implementation of IE), there's both a display of and a "Move folder..." button for temporary internet files (I can see cookies in there when I browse it).

This implies several things: 1) IE implementation must decide where to put cookies when it is installed - different versions may put it in different places, 2) It is modifiable by the user after installation - so you can't count on it being where IE likes it, 3) IE keeps track of the name of this location in the registry or in an ini file or somewhere - if you can break the code, you can create a command list that will look up its location on each machine that your list runs on, 4) If the machine uses some other browser than IE, you will have to do more research on how to find their cookies.