1. On the View menu, click Internet Options.
2. Click the Advanced tab.
3. Select the Prompt before accepting cookies check box.

A cookie is a small file that an individual Web site stores on your computer to provide customization features. For example, when you set custom settings in The Microsoft Network (MSN), that information is stored in a cookie file in the Cookies folder of your Windows folder. MSN then reads the cookie each time you visit the site. The cookie lets MSN know which options to display according to your personal preferences.

Accepting a cookie does not give a Web site access to your computer or to any personal information about you, other than what you have specified in the customized settings for that site. If you visit a site that features a "shopping cart" of items you want to purchase, a cookie can keep track of what you put in the cart. The name of the file can vary with the name of the current user, who the cookie was written for, and the different pages offering cookies to your computer.
Cookies are stored in the Windows/Cookies folder on your hard drive.