Cookies will definitely remain in the system, even if we close the browser. The path to cookies is as mentioned by venky above. In Internet explorer >> Tools >> Internet Options >> General Tab, there is a Delete Cookies button, that will delete the cookies stored in system. The closing of the browser does not trigger the deletion of cookies.
To add more details, if we are creating a cookie ourself, we can set the expiration time for that cookie using Cookie.setMaxAge(int). Setting the MaxAge as -1 will make the cookie to expire immediately when the browser is closed. Check this out for better understanding: