There is a flag in Windows Internet options that causes Windows to remember site logins and passwords. By default it is enabled. You can clear cookies all day long, and Windows will merrily automatically log you in if that option is enabled.
Look in "Internet Options", under the "Security" tab, pick the zone and view the settings (press the "Custom" settings button). You are looking for "Userdata persistence". It is usually in the "Miscellaneous" section.