Most browers have a 'cookie manager' that will force the system to ask permission to set a cookie. You can then say no, allow a 'session cookie' which disappears when you log of the net, or allow a 'regular' cookie.
You have to realize that some sites won't work if you don't allow at least a session cookie, but a good browser should allow you to create a list of sites that can/cannot set cookies.
If you use Firefox, click on Tools> Options> Privacy tab> Cookies tab> click Settings button at bottom of dialog window under Private Data. Check the items you want deleted and check the box: Clear Private Data when closing Firefox then OK.