Be that as it may, in Firefox: Tools > Options > Privacy Tab > Cookies. Set as you desire.
In Internet Explorer: Tools > Internet Options > Privacy > Set as desired (check out the advanced settings! That's the easiest way to configure it, imo. Not that I use IE anymore...).
In Safari: Preferences > Security > Set cookies as desired
If you're really concerned about cookies, I'd recommend setting it to prompt you for cookies, as this will still allow you to utilize the pleasures of cookies whilst giving you the ability to decide which sites can set them.