It's named cookie.txt found in the app data folder.
On Windows XP/2000, the path is usually %AppData%\Phoenix\Profiles
\default\xxxxxxxx.slt\, where xxxxxxxx is a random string of 8
characters. Just browse to C:\Documents and Settings\[User Name]
\Application Data\Phoenix\Profiles\ and the rest should be obvious.
cookies.txt under your profile directory. May be something like
C:\Documents and Settings\user-name\Application
Data\Phoenix\Profiles\profile name\random string.slt\cookies.txt