Internet Explorer -> Tools -> Internet Options -> Privacy -> Advanced
Tick "Override automatic cookie handling
Block "Third-party Cookies" This will get rid of most tracking cookies.
Tick "Always allow session cookies"
OK
Then select Sites.
For others, put their domains -- such as "advertising.com" -- in Sites to be
blocked or allowed.
OK
Then under the Advanced tab
It is also a good idea to empty the Temporary Internet Files folder when the
browser is closed.