First tell is which web browser you are using. If it's IE go to
Tools>Internet Options>Privacy. From there you just move the slider
up/down to medium or medium high or you can click the advanced option.
I use advanced and set to accept first party cookies and block third party
cookies and allow session cookies. I only use IE for Windows Update though
and use Firefox for everything else. In Firefox I block all cookies except
for website I define as allow.