This is the 'best' way to do it in Internet Explorer 7:
Close IE and Windows Explorer, click on: Start > Run > type inetcpl.cpl > ENTER
The Internet Properties box will pop up. Click on:
General tab > Browsing history 'Delete...' > Delete Cookies > Yes > Close > OK

In Firefox:
Click on: Tools > Options > Privacy > Show Cookies > delete individual cookies or all cookies.

Tracking cookies aren't a great threat and, even after you delete them, they will come back as you surf the web, so you'll keep finding them. That's normal. You can control cookies through your browser.

In IE7, click on: Tools > Options> Privacy> Advanced > Override automatic cookie handling

Allow First-party cookies and block Third-party cookies. First-party cookies are set by the web site you are actually visiting and some won't work without cookies enabled. Third-party cookies are set by e.g. advertisers on that web site, these are the ones you particularly don't want.

You could set First-party cookies to 'prompt' but you'll probably find it annoying after a short while.

If you're using Firefox, click on: Tools > Options > Privacy

Accept first-party cookies, don't accept third-party ones, keep until you close Firefox and select to clear private data when you close Firefox.