Wedge

Use incognito mode then the cookies won't be saved.

My revenge! I really wish people would read the entire thread before posting. Joking! :P
It's my fault.. my english is bad..

With Incognito mode cookies won't be saved (good), but I need to save 1 cookie (all the others can be removed).
My actual configuration is: "normal" mode with the clean of cookies at the browser exit. And it works properly (also because I want my history to be saved), the problem is that I need to save 1 cookie..

I did. Use incognito mode for all the stuff you don't want saved, and normal mode for those you do.

You're right.. the problem is that I use a service called Passpack (an online password manager that allows me to login on sites I saved passwords for by pressing CTRL + letter).
I needed the possibility to have a whitelist of cookies not to delete on exit because doing this I'd delete everything except the cookie for the password manager (that needs also a passphrase, so it was convenient because I just had to insert the passphrase instead of username+password+passphrase each time).

I can't use incognito mode because for the key combination websites need to be in other tabs of the browser, not in "another browser" (incognito).

Then there isn't a good answer and you should go ask the devs of that online solution how to address it. Their software prevents you using these tools, it's their problem to fix.