Okay, I'll give that a go, but just looking at my cookies through firefox, they seem to clear each time I exit. They are set to be removed when they expire, does that need to be changed?

No.. there may be a problem with the cookies database (the cookies.sqlite file) if you delete that one and go to a site where you know that you will get a cookie (gmail) Firefox will make a new cookies.sqlite file...

I still can't find that file, I have searched my computer for cookie without luck, the only file I can find is cookie.dll and it is some Sony file on my computer...

I can see cookies now, but when I close and open firefox, the only one I will have is google... maybe I need a reinstall?

Did you install any new add-on recently? I did it once and it conflicted with firefox or other add-ons so I had to reinstall firefox to get it to work properly again.

I don't think so, I'll take a look though