For Microsoft Explorer 6.0 & 7.0 :
Select the "Tools" menu then "Internet options"
Click the "Privacy" tab
Selected the required level with the cursor or click on the "Advanced" button to personalise your
cookie management.
For Microsoft Explorer 5.0 :
Select the "Tools" menu then "Internet options"
Click on the "Security" tab
Select "Internet" and "Customize the level"
Find the "Cookies" heading and choose the option that suit you
Select the "Tools" menu
Click the "Options" link
"Cookies" heading