Cookies are small files that web sites store on your computer’s disk. They allow web sites to store information about your interaction with them. For example, they might store the data required for you to purchase items across the several web pages this involves.
However, cookies – originally called tracking cookies – can also be used to track your movement across the web. Depending on the software using them, this data could be used to create a detailed record of your behavior as you surf. The resulting profile might be used for innocuous purposes, such as targeted marketing, or for malicious reasons, like spying.

Most browsers accept cookies by default. To retain your privacy, set the browser not to accept any cookies other than exceptions you specify. Then only web sites you approve can set cookies on your computer. A few web sites won’t let you interact with them unless you accept their cookies — but most will.
You can also set most browsers to automatically delete all cookies when you exit. This allows web sites to set the cookies required for transactions like purchasing through the web but prevents tracking you across sessions.
To manage cookie settings in your browser, access these panels –

To turn cookies on or off –
Internet Explorer Tools | Internet Options | Privacy | Advanced
Firefox (version 2 on) Tools | Options | Privacy | Cookies
Opera Tools | Quick Preferences | Enable Cookies
K-Meleon Tools | Privacy | Block Cookies
SeaMonkey Edit | Preferences | Privacy & Security | Cookies
To allow specific web sites to set cookies –
Internet Explorer Tools | Internet Options | Privacy | Edit
Firefox Tools | Options | Privacy | Cookies | Exceptions
Opera Tools | Preferences | Advanced | Cookies | Manage cookies
K-Meleon Edit | Preferences | Privacy
SeaMonkey Tools | Cookie Manager
To “clear” (erase) all cookies currently on your computer for the specified browser –
Internet Explorer Tools | Internet Options | General | Delete Cookies
Firefox Tools | Clear Private Data
Opera Tools | Preferences | Advanced | Cookies
K-Meleon Tools | Privacy | Clear Cookies
SeaMonkey Tools | Cookie Manager | Manage Stored Cookies | Remove All Cookies
To automatically clear all cookies whenever you exit the browser –
Internet Explorer Not available
Firefox Tools | Options | Privacy | Cookies | Settings…
Opera Tools | Preferences | Advanced | Cookies
K-Meleon Tools | Privacy | Settings…
SeaMonkey Not available

CookieCentral has more information about cookies and how to manage them. Other similar tracking mechanisms include web bugs, Flash cookies, third-party local shared objects. These are less common than
cookies and rather technical so follow the links and see the Appendix if they concern you.