You can try this, Choose 'Options' on the 'Customize and control' menu, then open the 'Under the Bonnet' tab. In the 'Privacy' section, click on the 'Content settings...' button and open the 'Cookies tab. Set the required cookie behaviour and use the 'Exceptions...' button (if required) to configure specific websites.
If you are using Windows Internet Explorer 7 or Windows Internet Explorer 8, this site could help you: http://windows.microsoft.com/en-ph/windows-vista/block-or-allow-cookies Hope you find it helpful. All the best!