I ran adaware & spybot and it didn't bring up the site's cookies.
If these are the names you're seeing, these are okay.
FSM04User - This is for storing your username and other forum preferences.
FSM04SAK - This is a session key -- used for authentication purposes.
ASPISESSIONDCQCDTCTC - This is a temporary cookie set by the server.
You'll want to keep those.