With the implementation of IE 7, you have the option in advanced settings of the privacy to "override automaitc cookie handling". This becomes a necessary evil; if the expression permits.
If you, for example go to a site, where a certificate is generate or a secure login is required... the system needs to have a "tracking cookie" to validate that you have been through the authentication process.
Failure to do so, will generally result in a loop, requesting to continuously re-authenticate. The re-authentication process tries to place the "time sensitive" cookie in the browser's cache, indicating that you have been through the required steps in a timely fashion.
Banks for example do this, as do most HTTPS sites.
This is to preserve the "proper person" is actually the one performing the transaction. Thus, someone opening your browser and returning to your banking site, cannot simply refresh the page and have access to your data. 2 reasons for this being:
1. The "time sensitive" cookie is expired
2. The session requires authentication.
Unfortunately, this is not always the case. Some sites, simply "like to track a person behavioral patterns" for later use or marketting. This is often done vie Malware or Malicious code that has spread to even legitimate sites.
Completely removing all tracking cookies from all sites, would in turn mean removing even the legitimate ones, causing even possibly, access to your internal mail (web based) server to fail.