Pressing Ctrl+Shift+Del
brings up the deletion dialog in almost all browsers (I've tested IE, Firefox, and Chrome), where you can delete cookies, form data, passwords, etc.
Firefox, and Chrome are working just fine. However, IE just like always acts differently. It shows the message that everything is deleted, but it actually preserves many things.
To test it, I simply log into a website, so that its authentication cookie is set on my browser. Then I delete all cookies. Then I request a private page of that site (which would be served to logged in users only). Guess what? In Chrome and Firefox I get redirected to login page, but in IE, I'm still logged in.
Any ideas?