For the privacy-minded, one of the easiest ways to keep web companies from virtually following you around on the internet is to simply have the browser dump (as in delete) all cookies on close.
All major browsers have the ability to this, but IE’s way is rather buried, so here’s how it’s done:
1. Internet Options
There are several ways to get here.
In XP there’s an icon for it in the Control Panel.

In the IE browser regardless of Windows version it’s Tools > Internet Options and has been that way ever since IE3 (possibly 2?) in the Windows environment. And yes, it is still available in the same place even in IE9.

In IE9 specifically, the Tools menu can be accessed by clicking the cog icon at top right of the browser and getting to Internet Options directly from there:

In the WinVista or Win7 environment, you can directly type in internet options from the Windows logo menu and get to it from there:

2. Advanced tab

3. Security (header) / Empty Temporary Internet Files…

You have to scroll down a bit in Advanced before you get to this point, but it’s there. The box you need to specifically check is Empty Temporary Internet Files folder when browser is closed. The latter portion of the phrase is usually chopped off by the scrollbar as shown above.
You’re done at this point. Close and restart the browser.
Drawbacks of having a browser dump cookies on exit
While it’s true you are preventing web companies from ‘perma-tracking’ you around the web by having cookies dumped on exit of the browser, this does not come without drawbacks.
Drawback 1: Sessions are reset on every restart of the browser
If you depend on the browser to keep you logged in to certain sites, the way it does this is by use of cookies. For example, if you login to a Hotmail, Yahoo! Mail, Gmail account or otherwise, close and restart the browser and on revisit to mail you’re still logged in, that’s because of the cookie. If you have the browser dump all cookies on exit, just about every site will prompt you to re-login.
Solution: Have the browser remember usernames/passwords for quick logins, or alternatively use a third-party secure login program such as LastPass.
Drawback 2: Sites which you want to ‘remember’ settings won’t
Aside from login session information, many sites use cookies to store preferences as well. For example, any time you go to a web site where you see a ‘Don’t show this again’ link and you click it, that is stored in a cookie as a preference setting for that site. When the browser is set to dump cookies on exit, all cookie-based preferences per site are reset each time you restart the browser.
Solution: Try to use web services that store preferences based on account rather than cookie. Google for example does this. For just about any Google service (search, mail, etc.), any custom setting you use is stored in your Google Account rather than a cookie. What this means is that even if you have cookies dumped on close of the browser, a login to your Google Account will still ‘remember’ all your previous settings.
Drawback 3: "Interconnected" logins may prompt you to re-login. A lot.
This is something that may or may not be an issue depending on your point of view. Many sites these days allow you to login via your Facebook user credentials. When you do that, you browser may be writing to 2, 3 or more cookies at once (Facebook cookie, site-you’re-logging-into cookie, etc.). With the browser set to dump cookies on exit you may have to re-login often if you use your browser interconnected-login style.
Solution: Same solution to drawback 1. Have the browser save usernames/passwords or use a secure third-party password utility.

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