Someone popped up on a digital rights mailing list to complain about websites setting cookies, up to and including the site of the Information Commissioner to track his web use.
To paraphrase what I said to him, if you have cookies set in your browser in this day and age, it is mostly your own fault. To the best of my understanding, there isn't a single solitary web browser that is safe to use that doesn't allow you to control which cookies you accept.
The point (whether you like it, or agree with it, or as I suspect not) is that if your browser is set up to accept the cookie then you are deemed to have agreed to that cookie. I have seen some very expensive legal opinion to this effect in $DAY_JOB and until either the courts or the Information Commissioner suggest otherwise that is how the web will be. Perhaps we need to campaign until the browser manufacturers start with a screen to take users through the options they have rather than starting with letting them accept the defaults.
Until then most browsers are covered in this advice on cookie settings from the BBC.