More advanced Internet users can override how the privacy level in Internet Explorer 7 handles cookies. For example, you may choose to allow all first-party cookies but block all others. You can configure the advanced privacy settings by click the Advanced button from the Privacy tab within the Internet Options window.
The Advanced Privacy Settings window allows you to Accept, Block, or Prompt first-party and third party cookies. A word of caution when changing the default settings, if you use the Prompt option, the prompts you receive indicating that a web site is trying to copy a cookie to your computer may become excessive.