Follow this steps on Internet Explorer 6/7/8 (Windows XP / Vista) browser:

1. Select Tools from the top menu and then Internet Options.
2. Click on Privacy tab.
3. Configure settings as you want.
4. Finally click Apply and then OK to save changes.

Follow this steps on Internet Explorer 8/9 (Windows 7) browser:

1. Click the Settings icon on the top right position.
2. Click the Tools button and then Internet Options.
3. Click Privacy and then on Settings, move the slider to the top to block all cookies or completely down to allow all cookies.
4. Finally click OK to save your changes.