1. In Internet Explorer, on the Tools menu, click Internet Options.
2. Click the Privacy tab, and then click Advanced.
3. Click Override automatic cookie handling, and then specify how you want Internet Explorer to handle cookies from first-party Web sites and third-party Web sites (a Web site other than the one you are currently viewing).
4. To specify that you want Internet Explorer to always allow cookies to be saved on your computer, click Accept.
5. To specify that you want Internet Explorer to never allow cookies to be saved on your computer, click block.
6. To specify that you want Internet Explorer to ask whether or not you want to allow a cookie to be saved on your computer, click Prompt.
7. If you want Internet Explorer to always allow session cookies (cookies that will be deleted from your computer when you close Internet Explorer) to be saved on your computer, click Always allow session cookies.

You can delete all cookies in the temporary internet files folder by selecting "Tools" then clicking on "Internet Options..." at the bottom of the menu. Then just click the "Delete Cookies" button and then subsequently, the "OK" option.

Cookies are a widespread privacy concern, and in most circumstances can be BLOCKED. Simply "allow" cookies from the sites that request them (bank sites, forums, and other "log in" type sites usually require cookies to save your username and password)