Your choices in working with cookies

From Microsoft Internet Explorer Help

Internet Explorer allows the use of cookies; however, you can change your privacy settings to specify that Internet Explorer prompt you before placing a cookie on your computer (this enables you to allow or block the cookie); or you can prevent Internet Explorer from accepting any cookies.

You can use the Internet Explorer privacy settings to specify how you want Internet Explorer to handle cookies from individual Web sites or all Web sites. You can also customize your privacy settings by importing a file containing custom privacy settings, or by specifying custom privacy settings for all Web sites or individual Web sites.

Privacy settings only apply to Web sites in the Internet zone.