The best you can do in IE7 is to go into Tools / Internet Options / Advanced Tab, scroll down and check the box "Empty Temporary Internet Files folder when browser is closed". However, there are reports that this doesn't work for cookies.
Therefore here is another solution that clears cookies every time that you logoff Windows.
First, prepare a batch file (.bat) that contains one or more of the following commands:
Clear Cookies RunDll32.exe InetCpl.cpl,ClearMyTracksByProcess 2 Temporary Internet Files RunDll32.exe InetCpl.cpl,ClearMyTracksByProcess 8 History RunDll32.exe InetCpl.cpl,ClearMyTracksByProcess 1 Form Data RunDll32.exe InetCpl.cpl,ClearMyTracksByProcess 16 Passwords RunDll32.exe InetCpl.cpl,ClearMyTracksByProcess 32 Delete All RunDll32.exe InetCpl.cpl,ClearMyTracksByProcess 255 Delete All including files and settings stored by add-ons RunDll32.exe InetCpl.cpl,ClearMyTracksByProcess 4351
Then run the Group Policy Editor (gpedit.msc) and go to User Configuration / Windows Setting / Scripts (Logon/Logoff).
Right-click on Logoff and select Properties, click on Add, then on Browse, navigate-to and select the .bat file, click Open, OK, Apply, then OK.
Now when you logoff Windows the batch file will run and clean out your data.