I have been using Opera on one machine and rarely get any uninvited guests on my machine. On another, I use IE6 and it full of the blighters.
I have stuck CookieWall, a freebie from AnalogX (
www.analogx.com), on the IE6 machine with a 1 minute testing interval and lo and behold, it regularly finds stuff, and gives the option to accept, delete or do a temporarly accept - even finds the nasty DoubleClick test cookie