just about every site we visit on the web sends a cookie into our pc's - there are various methods of dealing with these - especially by simply going to:
browser : tools : internet options : general : temporary internet files : delete cookies
However - if you visit particular sites very often and would like to stop them from regularly filling up your Cookies Folder, try this:
browser : tools : privacy : websites : edit : write the name of the site you want to block - for example: "www.blockthissite.com" : okay : exit