Thanks all for your help. I tried from DOS (but not my Boot Disk... why would that make a difference?) but the problem was in the folder not the method.
BTW, I was experimenting with a Perl script that could read cookies so what I did was copied the cookies folder to Cookies_original and then messed around with the original folder called Cookies. Then I renamed the real folder to Junk and renamed the copy back to Cookies. The problem seems to be that the machine KNOWS which is the original folder no matter what it is called. New cookies were being put in JUNK not COOKIES! I could delete COOKIES but NOT JUNK. Interesting.
So what I had to do was delete all the old cookies from JUNK, rewrite the index.dat as an empty file. (BTW that was interesting also. Seems notepad, wordpad, even VIM could not overwrite my index.dat. But a freebie editor called EditPad Lite did it just fine.) Once I had JUNK totally empty, I copied all the saved cookies back to JUNK, opened the saved version of index.dat in my editor, and then cut and pasted its contents into the index.dat on JUNK that could not be deleted and saved it. Then I delted the copied COOKIES file and renamed JUNK back to COOKIES. (WHew!)
Seems like the OS has a lock on that folder.
George K