If the only problem found is the cookie just delete it. Cookies are not a serious security problem.

So, to be sure there's just the one alert, delete the cookie(s) and run the scan again to see what it finds.
If the iexplore.exe file is still part of a separate alert then submit it to that site. Don't delete or quarantine it yet since it's your browser and without it you won't be able to use internet explorer.