My understanding was that cookies sent WITHOUT an expiry time were saved within the browser process, but that those sent down WITH an expiry time are stored in test files on the PC, as you suggest.

Are you telling us that Internet Explorer actually stores all cookies (even the non-persistant) ones to file, then takes them out of that file when the user closes the browser? It's up to Microsoft how they implement the standard, of course, but that seems an odd way to do it.