Hi this is Microsoft error message, there is probably a set up problem with your IE6 installation are you sure it was only cookies that were deleted.
Basically it means IE6 suffered a catastrophic error, often this is because it tries to execute a piece of code that is not where it expects it be, e.g. like an express train unexpectedly running out of a railway track . . . crunch !
In response to the end of that message did you click send, because if there is a recognised fault they will tell you what it was.