Great reply btljooz. I would add to that a quote from an article by Woody Leonard in Windows Secrets which shows how to make your browser do the job :-
Clobber the spying cookies lurking on your PC.
Blocking first-party cookies can break many Web-based applications, <i><b>so
it isn't a great idea</b></i>. Blocking third-party cookies, however, merely
dings the coffers of Google (which owns DoubleClick) and other
By default, Internet Explorer 7
blocks third-party cookies from companies that don't properly post a
particular kind of privacy statement called the Platform for Privacy Preferences
(P3P), an initiative spearheaded by the W3C. That doesn't do much for
you, though. P3P has been roundly criticized by privacy advocates and
the technical press, so it's largely unenforced and is of questionable
value. If you want to block all third-party cookies in <b>Internet
Explorer 7</b>, click Tools, Internet Options, Privacy. Under Settings,
choose the Advanced button (not the Advanced tab). Check the Override
Automatic Cookie Handling option, and under Third-party Cookies select
Block. In Firefox, it's much simpler: click Tools, Options, Privacy. Uncheck Accept third-party cookies. In the current beta of Chrome, click Tools, Options, Under the Hood. Under Cookie settings, choose Restrict how third-party cookies can be used.