Hard On the heals of the Rad Upload release comes a new version of the Rad User Manager. This is one of the handfull of open source projects that Rad Inks is involved in. (Mega upload is not one of them, megaupload is a personal project)
The new version gives you the choice of storing your PHP session data in a database, the old approach of saving this information on the session files at the server is still supported and continues to be the default setting.
Rad User manager does not store anything critical information in cookies. The only thing that will be saved in a cooky is the session identifier, the data associated with the session stays safely on the server with out being passed back and forth between the browser and the server.
If you don't want to save even the session identifier in a cookie you need to disable cookies in your PHP configuration (php.ini) file and enable trans-sid. In some cases you might need to compile PHP with --enable-trans-sid support. Some developers are of the view that trans-sids are less safe than storing the session id in a cookie. You should do your own research before deciding what option is best for you.