Protect cookies in XP Pro and IE6

I need to protect a few cookies from being deleted using I.E. 6 delete cookie button, I have tried marking the attribe read only, system and hidden but I.E. still deletes them.

I can use windows explorer to delete the cookies I don’t want but it is easer to use the button to do it for me.

Anybody know how to protect a file from ever being deleted? Windows protects some files this way you must go to dos to wipe out some files or rename them.