Usually, the website that sets a cookie is the only one that reads the cookie. However, third-party cookies can be set by one website and read by another. Third-party cookies are used by servers that deliver advertisements and those annoying pop-up and pop-under ads. You should accept most cookies but block third-party cookies.
Burning cookies in Firefox
Choose Firefox→Options (on a Mac Firefox→Preferences), click the Privacy icon, and look in the History section. If Remember History is selected, Firefox stores cookies. If you want more control over which cookies it stores, change it to Use Custom Settings for History. This setting displays these cookie-related check boxes:-
Accept Cookies from Sites: It is recommended that you leave this one selected.
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Accept Third-Party Cookies: It is recommended you set this to “From visited”.
You can take a look at the cookies on your computer, too. Click the Show Cookies button and scroll down the list of sites. If you see one that you don’t recognize or that sounds suspicious, click it and click the Remove Cookie button.
Exploring cookies in Internet Explorer
Click the Tools icon, choose Internet Options, and click the Privacy tab on the Internet Options dialog box that appears. Internet Explorer displays a slider that you can drag up and down to increase or decrease your level of privacy.By default, Internet Explorer sets your privacy level to Medium, allowing cookies except for third-party cookies. If you want to specify exactly how cookies are saved, click the Advanced button to see the Advanced Privacy Settings dialog box and then select the Override Automatic Cookie Handling check box. The options are
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First-Party Cookies: You can choose to accept or to block or to be prompted to choose, though this option grows tiresome quickly if you encounter a lot of cookies. Some sites can store three or more cookies per page. Choose Accept.
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Third-Party Cookies: Just say no to (that is, choose Block) third-party cookies.
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Always Allow Session Cookies: This check box lets through all session cookies, a type of cookie used to track a single instance of your visit to a website. These cookies are commonly used by shopping sites such as Amazon.com and are harmless. Select this option so that it contains a check mark.