Deleting all the cookies won't do any harm. As for the little matchstick man, I never seen that before on Windows, I wonder if there's something running in the background nibbling away at you resources? Try Alt+Ctrl+Delete once, to see what's running in the background. The only things needed to run the computer are Systray and Explorer, so ignor them, you may have the anti virus program listed and firewall, if you have one, you can ignor them, post back anything else and one of the guys/gals will tell you if it's OK.
Have you run Adaware click here and Spybot click here to make sure you've got no scumware running, also make sure your AV is up to date.