Okeydokey,
Cookies are small files that are stored on your computer's disk by web servers and ad-servers. (An ad-server is a special purpose web server that sends advertisements to your web browser) Each cookie contains an identification number that is unique to your computer, so the server can 'remember' you. Web servers and ad-servers are able to read cookies they previously stored on your computer, including the unique identification numbers they assigned to you. This allows them to 'remember' you, when you visit their site again.
Have a look in C
windows\cookies
You could delete them, but you will get problems trying to log-in to secure websites such as banks. You will also lose functions on Pprune such as { New Posts Since Your Last Visit }, having to retype your name and password every time you post a message etc etc.
If you really want to stop receiving them you can go to Internet explorer/tools/internet options/security/internet/custom level where you will find options to disable/enable/prompt before your PC accepts anymore.
Alternatively you could buy cookie blocking software.
Is it worth the hassle?
Mutt.