But FYI the cookies are stored in your Temporary Internet Files folder which by default is in C:\Documents and Settings\(your user name)\Local Settings\Temporary Internet Files. You might be able to just copy them from there to your new Temporary Internet Files folder. I'd keep a backup as well until you're sure it's working.
Change C: to whatever letter your Windows partition is, of course.
Otherwise, I don't know if the File and Settings Transfer Wizard that comes with XP transfers cookies or not. Worth a shot.