Here, you have a few choices to make. First-party cookies are those cookies that come directly from the website you are browsing. Typically, these cookies are used for online shopping carts, usernames, and anything else directly related to the site. Third-party cookies are those cookies from other sites. These cookies are typically used to track advertising, collect non-personal data, and other uses not directly related to site you are visiting. Just for the record, as the visitor to the site, you are considered the second party, which is why there are no second-party cookie options.
Under each type of cookie (first and third-party) you can choose to either accept cookies without question, block all cookies, or have Internet Explorer 8 prompt you whenever a website wants to place a cookie on your computer. There are some consequences to each of these choices.
Accepting cookies blindly brings up some privacy issues. Technically, information about your surfing habits can be recorded with cookies but this is usually done to make your experience with a website more enjoyable, not as a means to identify you personally or market products to you offline. If you prefer to surf completely anonymously, do not choose to accept all cookies.
Blocking cookies can be a problem for you especially if you shop online or participate in online communities. Some people like to allow first-party cookies but disallow third-party cookies. Typically, this gives you the best of both worlds. You can use websites as the publisher intended you to use them but you will not have to worry about cookies from sources other than the website you are currently viewing.
Having IE8 prompt you every time a site wants to put a cookie on your computer can be a nuisance. Cookies are so prevalent on commercial websites that you will be treated to a barrage of prompts every time you visit a new page. Unless you really want to know every time a website wants to put a cookie on your computer and you don’t mind the constant interruptions, use the PROMPT option for first and third-party cookies.
One last option you can choose is whether to allow session cookies. Session cookies are often used to keep track of your immediate website experience. In other words, shopping carts often use session cookies because once you close your browser, there is no longer any need to keep track of anything you did on the site. However, there is not much distinction between a session and a first or third-party cookie. Disallowing first and third-person cookies and then allowing session cookies may work for you depending on which websites you visit. You may need to play with these options to see what works best for you.