All browsers have options to either block all cookies or just third party cookies. You can also set most browsers to block or allow cookies from all websites, or just the ones you want.
All browsers have quick and easy options to delete cookies and many can even be set so they delete cookies when you close your browser.
Internet Explorer, Chrome and Firefox
On a PC you can bring up the menu to delete cookies and other browsing data by pressing the [Ctrl] [Shift] and [Delete] keys together.
On a Mac, use [Cmd] [Shift] and [Delete] in Chrome and Firefox.