|Which version of Opera are you running? I have Opera v9.64|
Like I said, go to Tools > Delete private data > Detailed Options, then put a check next to whichever options you want deleted...then click DELETE.
If that doesn't work for you, fire up CCleaner, click on the Applications tab, make sure all boxes are selected under Opera, then run the Cleaner.
Other than that, you can try deleting the cookies manually. I don't use Win98 so I can only tell you where they're stored in XP on my PC:
C: > Documents & Settings > jam >Application Data > Opera > Opera > profile
All cookies are stored in a single file named cookies4.dat