You should make a regular practice of policing your cookies. Before closing after each session, look at them (in I.E. tools, internet options, settings, view files) and group select and delete all you do not recognize. I keep around a dozen that I know have password or site registration info for places I regularly use.
A single session can add 50 or more new ones that I have no need for whatever. If I go back to a site, they can give it to me again for that session only, but there is no reason to keep it around unless the site uses some obnoxious registration system. Website designers use of both cookies and pop ups is extremely abusive, as bad as spam.
Thank you JasonC,I'm learning.
If you have IE 6, you can select View and then select Privacy Report. You will get a list. You can right click each entry in the list and select Always Reject Cookies from this Site. That should prevent future cookies from some of the ad sites.