Beware, if you set to prompt then you might find yourself forever accepting or rejecting the cookie!
Not so with IE 6. You can set the options to accept all first hand cookies - ie the ones from the sites you are knowingly visiting - but reject or prompt for 3rd party ones - these are usually the spy type ones. Also, when you get a prompt for one of the known ad sites, you can specify that your reply to the prompt will be remembered and applied to all other cookies from this site without a further prompt.