If you are worried about privacy, you’ll probably be worried about 3rd party cookies. Those are the cookies placed on your computer by doubleclick and all those nefarious places. Internet Explorer makes it easy to block them.
To get to this setting, go to Tools \ Options \ Privacy and then click on Advanced.
Just check the box for Override automatic cookie handling, and then select Block on the Third-party cookies radio button. All done!
Note: This should also work for IE6. But what on earth are you using iE6 for?