Let me cut to the chase: it is not somewhere in C:\Users\myname\AppData\Local\Microsoft\Windows\Temporary Internet Files
The answer lies in the path defined in Registry: HKEY_CURRENT_USER\Software\Microsoft\Windows\CurrentVersion\Explorer\User Shell Folders
Which in my case referred to %USERPROFILE%\AppData\Roaming\Microsoft\Windows\Cookies, translating into C:\Users\myname\AppData\Roaming\Microsoft\Windows\Cookies