Everyone usin' Windows should take a look at
Microsoft Security At Home. Anyone using Windows 98 or later who has not already done so should update
Internet Explorer to the latest version,
IE 6 SP1, which has a number of very important security and privacy features. Among these features is very good cookie control. See Microsoft:
How to Manage Cookies in Internet Explorer 6. Users of Windows XP, which includes IE6, should, if not already done, at the very least update to
Windows XP SP1. The current Windows XP Service Pack is SP2. The easiest way to keep Windows up to date is through
Windows Update.
A number of freeware programs offer very good cookie control as well, along with other important security and privacy features of great benefit. I highly recommend Zone Labs
Free ZoneAlarm, which affords very flexible, customizeable cookie control, and PepiMK Software's
Spybot Search & Destroy, which should be used along with JavaCool Software's
SpywareBlaster. Usin' these together will afford a great deal of control over cookies, browser helpers, and other add-ons and plug-ins. Another excellent freeware application is LavaSoft's
Free Ad-Aware SE, which, though it does not actively control cookies, is very good at detectin' and cleanin' 'em up - along with lotsa other stuff you don't want on your machine.
Microsoft Windows AntiSpyware is available to users of Windows XP, and is excellent as well, particularly used in combination with the above. An ounce of prevention and all that, ya know..