Change cookie settings using the slider to privacy settings:

• Click Tools and click Internet Options.
• Click the Privacy tab. The main feature is a slider bar that simultaneously alters the small group of options, controlling what different types of cookies are allowed to do. Click the slider bar and drag it up or down to change your privacy setting.
• At the bottom, you’ll find the setting to Accept All Cookies. There’s no real reason to use this setting, which gives all cookies unrestricted access to your machine. The default Medium setting in the middle is where most users would find a decent compromise between allowing generally useful cookies while restricting those up to no good.

Change cooking settings manually:

• On the Privacy tab, click the Advanced button.
• Click the checkbox to override automatic cookie handling. The two sections below contain choices for dealing with first-party cookies (those from sites you actually visit) and third-party cookies. Most users should choose Accept for first-party cookies and Block for third-party cookies.
• Click the checkbox to allow session cookies. These are temporary cookies used only while you visit pages within a particular site. Session cookies generally keep track of online shopping carts and other information necessary to the operation of useful sites and expire upon your departure.