I constantly need to shake crumbs out of my keyboard because people eat cookies while…what? Oh, wait… I’m supposed to talk about the other kind of cookie : the small text file placed on your hard drive by a web server to keep track of your travels through the site in question. Let’s begin with my advice.
I recommend that if you are worried about cookies then set the browser to prompt you before accepting them. In my “humble” opinion, it’s not a good idea to shut them off altogether. Cookies are about the only way a site can recognize you. If you do any online shopping, have sites that store your passwords, or have a page that is set up for you based on your preferences, you’ll lose all that if you disable cookies.
That’s my 2 cents worth, here’s how to set your browser to prompt you before accepting cookies or to disable them altogether:
With Internet Explorer (5.0 +):
Click your Tools menu, Internet Options . Click your Security tab and click the ” Custom Level ” button.
You’ll find an option for either disabling cookies or having the computer prompt you before taking them.
With Netscape 6
Head to the Edit menu, Preferences . On the resulting screen, head to the Advanced menu, Cookies . You’ll find an option for either disabling cookies or having the computer prompt you before taking them.
With Opera 7 
Go to File / Preferences , then choose “Privacy”. To Disable Cookies, just uncheck the “Enable Cookies” box. Another option would be to Enable Cookies, but choose “Do not accept cookies”. This will prompt you when a server tries to place a cookie, then you can choose to accept or reject.