In iCab you can configure which cookies will be accepted globally in the "Cookie" preferences, but you can also configure website-specific cookie settings in the Filter Manager.
A cookie can have an expiry date. When this date is reached, the cookie is automatically deleted. Cookies that are only needed for a short time usually don't have an expiry date and will be automatically deleted when quitting the browser. These cookies are called "Session Cookies".
Mac OS X provides a global cookie storage system, which can be used by all browsers (Safari is using this cookie storage for example). Using the global cookie storage has the advantage that cookies that were received by one browser are also available in other browsers, but this can also be a disadvantage especially when you delete cookies in one browser, they are also deleted for all other browsers. This is why in iCab you can decide yourself if iCab should use the global cookie storage or if iCab should use its own private cookie storage (the latter is the default). Using the private cookie storage of iCab will also offer more control over the cookies. Several cookie settings are only available when using the private storage.
You can delete existing cookies and you can inspect all the details about each cookie (double-click an entry or alternatively select an entry and select the menu item Edit > Information). In the Cookie Information window you can even enable/disable the expiry date, if a cookie has one. That means if a cookie expires in the future and you switch off the expiry date, iCab treats this cookie as "Session Cookie" so it will be deleted when quitting iCab. Also if iCab is configured to treat all new cookies as "Session cookie", you can enable the expiry date again in the Information window if you want to keep this cookie.
Also you can configure if iCab should accept all cookies, reject all cookies or accept cookies but treat them as session cookies so they are automatically deleted when quitting iCab. The latter is a good compromise in comfort and security. Web pages are able to set cookies so no web page will fail because the browser has rejected an important cookie, but because the cookies are deleted when quitting iCab, it's difficult to create user profiles. And if you want to keep certain cookies permanently (for example to remember the login status of a web page so you don't have to login each time again) you can use the Cookie Manager to enable the expiry date for the cookies of this web page again.
Another option in the Cookie settings allows to accept only the cookies from the main document but reject the cookies from the embedded resources (like advertising banners). This setting is very useful to filter out most the unwanted cookies (which are used to create user profiles for advertising reasons).
It's also possible to allow iCab to accept all session cookies (cookies which are automatically deleted when quitting iCab), independently of the other cookie settings.
Another option is to let iCab automatically delete all cookies when iCab is quit, even if these are not session cookies. Normally this is not really necessary, but when using iCab as Kiosk this can be useful.