Follow is the folder path, where you can find the saved tracking cookies in your system:
But in most of the cases, the cookies file are hidden and need to be unhide. So you should go to the folder options by clicking on View in the Windows folders menu bar. Uncheck the 'hide protected files' / 'show hidden files' check box to unhide the hidden files and folders in your system. A tracking cookie is nothing but a cookie which keeps a detailed record and tracks the browsing behaviors of any user. So, sometimes it can prove to be little risky if the system is shared among many users.