I cant delete a url

There's a website I can't delete, I can get rid of the history but not all the URLs. I click "delete", it goes away and if I try again it's as if it never happened; in a neverending cycle. Is it a cookie? I've run a scan and attempted to delete cookies in 2 different ways, all 3 things failed. Any help please?
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More about delete
  1. click my computer
    click C drive
    click the documents and settings folder
    click your user name folder
    click the cookies folder
    delete all the cookies except "index"
  2. Try using Ccleaner to delete them.
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