This should answer the question as to what they are : http://fileformats.archiveteam.org/wiki/Firefox_cookie_database As to why they are not deleting when close the browser I am not sure. You are closing the browser then re-opening it and checking is that correct ? Some info : https://support.mozilla.org/en-US/products/firefox/protect-your-privacy/cookies Looking at the link it is being blocked be Malwarebytes when I clicked on it so please do the following : https://support.mozilla.org/en-US/kb/troubleshoot-firefox-issues-caused-malware. Keep a copy of the log files as you will need them if you go to a anti-malware site for help removing left over items. NOTE : post in only 1 Malware forum only. It may be a profile issue. Try the above and Please let us know if this solved your issue or if need further assistance.