I delete all cache, history, and cookies several times daily. If you want to stay safe in cyberspace, you will too.
If you have Norton Internet Security you can configure it to ask you every time a cookie is about to be set. Your answer is persistent, meaning that if you say "no", that site will forever be denied the ability to set a cookie in your browser.
There's also a lot of good freeware for these kinds of problems here: