A hacker's attack is always possible.But the most dnagerous is all the malware stuff, viruses, trojans etc.....that's way we have to protect our PCs against the stuff.They can cause that all datas on a PC can be lost.
Concerning cookies, when you trying to delete them and a program is running at the moment it is impossible to remove a such cookie because it is in usage.But if a program is closed and non active removing of the cookie should be possible.