I'm a web site developer who uses Microsoft technology so here's a little primer.
First of all, the best way to tell if you are visiting a site that uses Microsoft technology is to look at the extensions of the links and pages you are viewing. If you see "asp" or "aspx", then it is Microsoft technology. If it's "php", "cfm", or something else, it's somebody else's, or at least somebody else's mixed with Microsoft.
There are basically 3 kinds of cookies: those that only last as long as you are visiting the site; those that stay on your hard drive for a specified length of time after you leave the site; and those that stay on your hard drive permanently. All can be removed by using the "Remove Cookies" function in Internet Explorer. Before you do that though, read on....
The cookies can only contain information about the stuff you enter or options you select when you are visiting the site. They cannot contain something secretly taken from your hard drive. You can control what kind of cookies you allow by setting the secutity settings in Internet Explorer.
Cookies that last only as long as you are visiting the site are used to keep track of what menu or page you are at, whether you selected English or Spanish versions of the web site at the start, what might be in your grocery cart.
Cookies that last longer will provide information that can be used to automatically log you on to discussion forums like this one, or your hotmail account, or what have you. They can also be used to remember what stocks you want to track each time you visit a financial web site.
What people get nervous about is that they are also used by companies like doubleclick to remember what other web sites you have visited and when. Not too many people like these cookies, me included. I don't think it's any of doubleclick's business what web sites I visit.
If you are worried about Cookies you can go to your Cookies folder every once in a while and delete all the cookies that have the name of the web site in the file name. So for example you might see in your cookies folder some files with the name doubleclick.txt. You can use the search function in Windows Explorer to find these cookies.
Hope this helps.
