I presume you mean when you select: Menu icon > Tools you see a list of options starting with 'Address Book and including the 'clear recent history' option. If the entire list disappears, then you are probably moving the focus off 'Tools'. You need to highlight 'Tools' and move mouse cursor immediately to the right so you are above the first in the list, then move downwards. then click on the option required.

control+shift+delete is Clear History not Cookies.

Hmm, okay...I thought it was basically the same thing. So how do I delete cookies?

Options-Privacy Show Cookies