Cookies are not all bad. They are an integral part of many websites which are helpful. If you have spybot search and destroy running then you should be OK. You can change the way cookies are stored on the computer by going into tools - internet options on the explorer tab.
If you want to focus on internet security then forget about cookies and attempts from software to show you how much they have helped you/saved you from.
Spybot&Destroy lets you "immunize" certain things, including some cookies. But waste of time and if you use Firefox you risk corrupting cookies.sqlite file. Keep that in mind if you suddenly find sites dont work properly, passwords are not saved. What actually corrupts sqlite files is not reading in stones but "security" software is among possible offenders.
If concerned about cookies no matter good reasons not to then use Firefox and one of the extensions letting you monitor cookie action in real time, permit/decline - cookie HIPS Wont do much other than complicate computing but "feeling safe" is important so go for it.
Wont do much other than complicate computing but "feeling safe" is important so go for it.