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Cookies really aren't a big deal at all, but there are a number of ways to shut off selected cookies, depending on your browser. Opera and Mozilla have very good features with cookies, and allow you to do most anything, and IE allows you to make a list of servers you don't want cookies from, which in your case should be good enough.
Anyway, what you really have to worry about in terms of spyware is the garbage installed on your system, and not trivial tracking text files like cookies. AdAware is another good app for that.
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