(In the current versions of IE and Netscape)
In Internet Explorer: Click on 'Tools' on the taskbar; click on 'Internet Options'; click on 'Security'; click on 'Custom'; scroll down to the 'Cookies' section and select 'Disabled'.
In Netscape Navigator: Click on 'Edit' on the taskbar; click on 'Preferences'; click on 'Advanced'; and in the 'Cookies' section, select 'Disabled'.
Be aware that disabling cookies will prevent your access to certain sites that are determined to feed on you, but if you tolerate the occasional inconvenience this causes, soon enough such businesses will abandon the habit. In IE, you can choose to enable 'per session' cookies, which is a sort of half-measure allowing your movement around a site to be recorded until you end each visit, but leaves no data on your machine. This will get you into some sites that try to demand that you accept cookies without making you capitulate entirely.
For more on privacy and related subjects, click here.