From IE Help
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To customize your privacy settings for an individual Web site
In Internet Explorer, on the Tools menu, click Internet Options.
Click the Privacy tab, and then click Sites.
In Address of Web site, type the complete address of the Web site for which
you want to specify custom settings. For example,
http://www.microsoft.com
To specify that you want Internet Explorer to always allow cookies from the
specified Web site to be saved on your computer, click Allow. To specify
that you want Internet Explorer to never allow cookies from the specified
Web site to be saved on your computer, click Block.
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Regards,
Ramesh Srinivasan, Microsoft MVP [Windows XP Shell/User]
Windows® XP Troubleshooting
http://www.winhelponline.com