Cookies concern your privacy. They allow you to keep records of your activities on the Internet. Automatic cookie control in the Internet Explorer 7 is based on the Platform for Privacy Preferences (P3P), a standard of the W3C.
However, few web sites support P3P so you are better off simply disabling automatic cookie management in the browser. An opt-in strategy is better: here, all cookies are principally disallowed and can only be temporarily allowed. For web services you need and could then no longer use, the browser offers a URL list of sites that can save cookies regardless of the global settings.
The administration of cookies is links to IE 7's zones. The rules defined in the advanced privacy settings only apply for the Internet zone. The browser takes all cookies from web sites assigned to the Intranet zone or to trusted sites. In contrast, it always rejects cookies for restricted sites.
To delete all of the data that concern your privacy in one go, the Internet Explorer 7 offers the menu item "Tools\Delete browsing history". Users can thus delete temporary Internet files, cookies, the history, form data, and passwords at once.