In IE 6.0, go to the Tools/Internet Options/Privacy menu.
This menu allows you to select how discriminating the browser will be when accepting cookies, based on two factors -- (1) the source of the cookie, and (2) whether the source has a "privacy policy." There are also features for the advanced user, if you'd like to have a greater control over cookies.

In IE 5.0, go to the Tools/Internet Options/Security menu.
In there, you can choose the security level for 4 different browsing conditions: Internet Sites, Local Sites, "Trusted" Sites, and Restricted Sites. If you select "Internet," and click on Custom Level, you'll get a dialog box where you can accept all, warn before accepting, or reject all cookies.

In IE 4.0, go to the View/Internet Options/Advanced menu.
There you can accept all, warn before accepting, or reject all. In Netscape, go to the Edit/Preferences/Advanced menu. Your cookie choices can be changed there.
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