Ah, well...
The new Edge browser does not have the functionality of allowing you to add a tracking protection list as in IE 11.
I’m running IE 11.0.9600.17914 now and it does have tracking protection enabled. It is managed under “tools”, “manage ad-ons”.
Microsoft Edge browser is not finished yet. Microsoft chose to release Windows 10 and Edge before they were 100% ready for prime time. They are getting better with each update release. Early next year (2016) Microsoft Edge should be fully functional (accept apps, etc). Eventually, Microsoft is going to phase out Internet Explorer in favor fo their new browser, Edge.