where to find......

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I have Windows XP. I have Spybot & Destroy on my computer. I run this program of course to check for Spyware. As the program runs, at the bottom of the screen it will show where it is searching. I never have anything pop up but while it is searching I will notice lots of files or filenames that I dont recognize or that Im sure are stored cookies or something to that effect and need to be deleted. I will write them down and do a search for them. I cant find them. Obviously they are stored somewhere on my computer and taking up space. How do I go about finding these items so that I can delete them? I do clear my cookies and do a regular computer clean up and deframent every couple of weeks so whatever this stuff is...it is hidden somewhere.