If these are the locations that you are talking about, have a look at the supplied links for a possible explanation. Try using IE with Protected Mode turned off (temporarily) or by right-clicking on the shortcut to IE and using the Run As Administrator" option, then see what happens when you delete the Browsing History etc.
C:\Users\usernamexxxx\AppData\Roaming\Microsoft\Windows\Cookies
C:\Users\usernamexxxx\AppData\Roaming\Microsoft\Windows\Cookies\Low
What does Internet Explorer protected mode do?
Internet Explorer protected mode is a feature that makes it more difficult for malicious software to be installed on your computer.
In addition to helping protect your computer from malicious software, protected mode allows you to install wanted ActiveX controls or add-ons when you are logged in as an administrator.
Protected mode is turned on by default in the Internet, Local intranet, and Restricted sites zones and an icon appears on the status bar to let you know that it's running.
Clicking on "Protected Mode" (just above and to the left of the Clock) will allow you to disable it, but remember to turn it back on.
Cookie Warnings [drive]:\%user%\ appdata\roaming\microsoft\windows\cookies\low\"cookie Name"
Where Are Windows Vista & Windows 7 Cookies !?
See what Cookies you have here too. They probably duplicate what is in one of either of those two folders depending on the settings of IE as mentioned earlier?
C:\Users\usernamexxxx\AppData\Local\Microsoft\Windows\Temporary Internet Files
This will give you a bit of an insight in to Index.Dat files.
Safely Delete the Temporary Internet Files
If you want to expand your knowledge on other aspects of the points you raise this is an interesting article with still some relevance today.
Read the article, it gets interesting around the paragraph 5
"HOW MICROSOFT DOES IT