Cookies are small text files that are created when you visit a web site that uses them. The web site uses the cookie to remember who you are and what you have visited or purchased from their site. The cookie is placed on your hard drive and can be retrieved by the web site the next time you visit.

Cookies can be very useful to you and will prevent you typing in membership information. You can personalise a web page and it will look the same next time you return.

Cookies can also be used by web sites to gather information about you that perhaps you would rather they didn't have. 

A security hole has been discovered that allows web sites to read cookies set by other web sites. Microsoft have released a patch to fix this. This affects versions 4 & 5 of Internet Explorer It has been fixed in version 5.5.

http://www.microsoft.com/technet/security/bulletin/ms00-033.asp

There are several ways of defeating cookies. You can do this in your browser. In Internet Explorer go to Tools / Internet Options and select the security tab. Click on the custom button and scroll down until you see the two sections about cookies. Select disable in both and cookies will not be allowed on your computer. This is not an ideal option as some web sites rely on cookies and when used correctly by a web site they can improve your web experience and save you a lot of time. A lot of shopping cart systems also won't work without cookies and you will not be able to use these sites.

A better option is to go for additional software to block cookies and delete your cookie file after you finish browsing. I have listed several free services below that you should try. 

Guidescope is available as a free download by following the above link. It is a type of proxy server which will remove all of those annoying banner ads and block the cookies from advertising agencies. 

Luckman offer a completely free Cookie Blocker. You can download it by following the link below.

Click here to download

Idcide is a good compromise and keeps you in control of which cookies you allow and which you block - it also lets you know if a web site is using your cookies to track your movements across the Internet which can be very useful and will allow you to complain to the web site in question.