When you delete cookies that is all you are doing so to speak.....deleting cookies,not malware or spyware. Some anti-malware products, like Ad-Aware recognise cookies as spyware,which in truth it is and it isnt
What i mean by this is, cookies are recoreded everytime you visit a web site,they remain in your system for faster accessing to pages you have already visited, and because it they note what you have done and where you have been,then they are recognised somtimes as spyware,but they are not really a threat. You can continue to delete cookies the way you do,which is a good thing as it helps to keep the PC that little bit slimmer.
Where programmes like Ad-Aware and Spybot come into power is against the real threats,such as trojan horses and dialers. Now these really are the things that you need your anti-spyware for. So before you run any scans,always remember to update first.
If any other questions, please post them and someone at BC will be happy to help!