For blocking cookies...
You can select to block, but it becomes a real pain. You either have to accept all and sort. Or click to allow/deny. That click to allow/deny can mean having to click half-a-dozen times on each website.
The best way to to allow the cookies and then use a program such as Window Washer (or similar) to clean out the cookies. You can schedule at shutdown, start up, once a week, etc. Those programs also give you an option to list which cookies to keep.
I had IE set to prompt for cookies.
Most of the time I only had to block them one time.
Then for some reason it started overriding my comand
and would switch to accept as soon as I closed the window.