If you want to check out your cookies without going through a browser, you can skip that step by knowing where Windows XP stores these files.
Cookies have their own folder inside the Documents and Settings directory. Since XP employs user profiles, the cookies that get downloaded while each individual user is logged on to your computer will be located in the branch of that directory that is dedicated to each user. Simply open your main hard drive through My Computer (which is usually labeled "Local Disc (C:)"), go to Documents and Settings, and select the user whose cookies you want to view - note that selecting All Users will not take you to the same place. Inside, there is a Cookies folder which contains the information you seek.
If you want to see cookies and all other internet files at the same time, type the following into the Windows Explorer address bar:
C:\Documents and Settings\<User name>\Local Settings
From there, select Temporary Internet Files and sort Type to group each of the different kinds of files.