It's stored in PathFromCSIDL(CSIDL_APPDATA) + "Mozilla\Firefox\Profiles\" + [[profiledirectory]] + "\" + "cookies.sqlite" . There's also a cookies.txt file, but if will probably be empty. PathFromCSIDL can be implemented relatively easily via the windows API.
If your goal is to access cookies programmatically, you'll probably want to do this rather than hard-coding paths. Note that [[profiledirectory]] varies and there may be more than one profile and thus more than one directory, each profile/directory having its own cookies.
