You finally get to the site, but it takes you a while. This is far from an Internet myth. When I had Internet Explorer set up to reject cookies I had to manually reject each one.
Many sites have a half dozen or more cookie requests.
It got to be such a pain in the butt that I just started accepting cookies to get over the hassle. I could not find an option in Internet Explorer which rejected cookies automatically. If anyone knows of a way, please let me know.