Which button are you using? One possibility is:

orange Firefox button or classic Tools menu > Options > Privacy

In that tab, if you have "Use custom settings for history," the button "Show Cookies" appears.

If you have tried that, what happens next? Please note that as you browse, pages will add cookies again. And if you restore a previous session, that sessions cookies will be added back.

You may have installed an extension that maintains a set of OPT-OUT cookies.

• Do Not Track Plus: https://addons.mozilla.org/firefox/addon/donottrackplus/
• Targeted Advertising Cookie Opt-Out (TACO): https://addons.mozilla.org/firefox/addon/targeted-advertising-cookie-op/
• TrackerBlock: https://addons.mozilla.org/firefox/addon/trackerblock/
• Beef Taco (Targeted Advertising Cookie Opt-Out): https://addons.mozilla.org/firefox/addon/beef-taco-targeted-advertising/

In that case you need to uninstall the extension to remove those opt-out cookies.

• https://support.mozilla.org/kb/Troubleshooting+extensions+and+themes

I have used "use custom settings", then "show cookies", then when I click "remove all cookies", nothing happens.