Here's another possible aid to blocking cookies. I haven't tried it myself, but hope to find a review of it from an impartial source like Langa List.

The Internet Junkbuster stops almost all cookies, except from sites you tell it are allowed to set cookies. It also helps prevent the disclosure of other details that surfers often want kept private, such as information about the page clicked on, and their computer's software and hardware configuration. These features can be optionally disabled or altered.
Read more at Internet Junkbuster

-- posted by Palema on 10/20/2002