You could do this is by clicking on the properties of the Internet Explorer, and in general you will see "Temporary Internet Files" Click settings then view files, you will then see a list of files which you can select individually for deletion, these will be cookies pages and downloaded inmages.
You can also go into c:\windows\cookies to delete the cookies individually, and C:\windows\history to do the same there. I am not sure about deleting the individual URL, I guess you mean the ones that are stored in your address bar in IE? But I'm pretty sure deleting them from the history also will remove them from the address bar.
ok I found another solution, this one will remove individual URL's that you have typed into the Address bar or URL's that you have copied and pasted nto the adress bar, but you willneed to do it through the registry, so make a back up first.
You want to go to this branch
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