Internet Explorer 9 comes with a useful privacy feature of restricting or allowing cookies on a per website basis.
1. Click on the gears icon at top right corner in Internet Explorer 9 or hit Alt + X.
3. From the list of websites that show up, select any of the site links and click on Summary. Change the cookie settings as needed.
All done, from now on you can have a granular control over managing cookies based on specific websites as desired.