It's not working fine for me. It's deleting all my cookies. I have CCleaner that worked with IE6 and IE7, but had issues with .dat file removal with IE7, but was later fixed with an update. However, IE8 seems to have the same cookie-deleting issue that IE7 had.
The cookies are getting deleted only after restarting my PC, though. I figured the problem could be that CCleaner was downloaded on my PC before IE8, therefor I have issues with it. I removed and re-downloaded CCleaner after installing IE8 and the issue still persists.
I'm going to try turning off .dat file removal once again to see if this solves the same problem I had before, with IE7.