Regarding deleting cookies – If I’m not mistaken I believe that is normal WordPress functionality/behavior.
Regarding images not loading – post a security log entry that is related to an image file from your BPS Security Log.
What happens when you do the standard BPS Troubleshooting steps?
http://forum.ait-pro.com/forums/topic/read-me-first-free/
1. Make a backup of your .htaccess files first by going to the htaccess Core Backup & Restore tab page. Select the Backup htaccess Files Radio button and click the Backup Files button.
2. On the Security Modes page Activate Default Mode for the Root Folder BulletProof Mode.
3. On the Security Modes page select the Delete wp-admin .htaccess File Radio button and click the Activate button to deactivate/delete the wp-admin .htaccess file.