Firefox Cookie Control
Setting up Firefox cookie control
Go to the Menu Bar: Tools/Options and click on the
Privacy padlock. Set up the check boxes as shown below.
If you find it too intrusive to be asked every time, change the
Keep Cookies setting to until they
expire.

I use Firefox, and I have it set up as above. It provides better control than Internet Explorer.
Even with the "for the originating sites only" box checked it's quite disturbing to note just how many cookies have to be blocked or allowed, and just who's setting them. And remember that the same thing's happening if you use Internet Explorer - you just don't get to know about it so easily.
The good news is, you have choices: you can allow the cookie to be set, allow it for the current session only, or give it the thumbs down.
If you tick the check box as shown in the dialogue box below, Firefox
will remember your instructions next visit, saving you the bother of doing
it all over again.

The bad news is that when you go to new sites you have to deal with one or more of these boxes - often several of them. I think it's worth it.
Alernative Firefox cookie control
A safe alternative is to set it up this way:

But then there's the problem of re-entering your data at every logon site that you regularly visit. There's no easy way out.
You're in charge of the rules
If you click on the Exceptions button in the above box, you can check on the settings for any site that you've confirmed settings for and modify them to suit yourself by entering the address in the box.
