If you do delete your cookie files, you may lose some settings, such as the passwords to sites you visit. In this case, IE will ask you to re-enter your password when you visit these sites. To prevent companies from placing new cookie files on your hardware, choose the option in your browser that asks for permission every time a cookie-planting attempt is made. A more convenient approach is to install software that protects your cookie files. Or you can have anonymizer's Web site place itself between you and the sites you're visiting, keeping your privacy intact.
Cookies work in a very simple and straightforward manner.
You contact a Web site. The site checks your browser to see if it already contains a cookie file from that site. If not, the site uploads a cookie with the data it sends to your computer. The cookie is then stored on your hard disk as a small text file. When you connect to other Web sites, your browser automatically checks the cookies already on your hard drive.