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Cookies are going to happen - unless you block them.
Registry keys can't be added unless you run a program, or click "yes" to something - a cookie AFAIK cannot do this.
Don't worry about cookies - they can't harm anything on your computer, just track the odd thing.
I run anti-spyware tools too, and regularly end up removing the same handful of cookies - no biggy.
*Clicks advert for good measure*
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