Cookies per se really aren't that big a deal, IMHO ... some are nasty, but most are benign, and they don't take up that much filespace. As CdK mentions, many websites won't function properly, if at all, without cookies. For those that want to feel reasonably secure, without thinking about it too much, I'd suggest going to
PC Pitstop, run their tests, then heeding their Internet Security Settings advice (use the AutoFix if you want to), then downloading
AdAware,
Spybot and
ZoneAlarm. All are free (though for AdAware and ZoneAlarm fuller-featured versions are available ... the free versions are fine for most casual users). Read the instructions that come with each. Update them before using them, then keep them updated and use them ... all of them. IMO, SpyBot and AdAware work well together, provided you read, understand, and follow the instructions for both, and 2 yuckware scanners will catch more stuff, and different stuff, than will either alone.
Note ... be careful about where you get SpyBot from ... use the link I provided above, otherwise you may be directed to an outfit that wants you to buy their own spyware stuff ... a rather sneaky deal on their part, if you ask me. The legitimate SpyBot download page should look like this:
While the rip-off scam artist's page looks like this: