For Microsoft Explorer 6.0:
Select the "Tools" menu, then "Internet Options"
Click the "Privacy" tab
Select the required level with the cursor or click on the "Advanced" button to personalise your cookie handling.

For Microsoft Internet Explorer 5.0: 
Select the "Tools" menu, then "Internet Options"
Click the "Privacy" tab"
Select "Internet" and "Customize the level"
find the "Cookies" heading and choose the option that suits you

For Netscape 6.X and 7.X:
Select the menu "Reports">"Preferences"
Privacy and Security
Cookies

For Netscape 5.X:
Select the menu "Modify">"Preferences"
Click the "Advanced" option
"Cookies" heading

For Mozilla Firefox:
Select the "Tools" menu
Click "Options"
Cookies section in the Privacy tab