Guyute:
That works only for local cookies to the domain. Lots of sites with ads get them sent from third parties. I'll tell you how I do it, though that will break some websites that will not show content without feeding ads.... The domains that feed lots of ads, like atdmt.net and atdmt.com and doubleclick.net and doubleclick.com and anything that begins with or includes ads in it other than goolgeads get put in the restricted sites zone, with direct entries by domain name. The cookie settings for restricted sites zone are stricter.
What you are doing lets you choose, I block the more common things and use restricted sites zone for that because the cookies settings in that zone block all but session cookies if set up right. To choose right, you have to know, and ad folks change domains every once in a while or use exact IP addresses if they do not want to change domains they use. So, if I get cookies from a site I will not be visiting again and get ad cookies while going there and look at my cookies after havign been redirected there and seeing new things, that info as domain goes into restricted sites zone.
If you are very knowledgeable you can eliminate many of the cookies by not accepting them, but if you get (EXAMPLE) a cookie that is
jdii1215@atdmt.com and want to block it, you can put *.atdmt.com or atdmt.com (depends on windows version and service pack of IE if it will take the *. part) and then the stuff from atdmt.com as far as cookies and some images and popups will get blocked by use of ZONE properties.
I also let IE keep passwords for me, and also clean cookies two-three times a wekk to nothing in IE. Most of my surfing is done in Mozilla as Mozilla encrypts user password info better including login info, adn in Mozilla many cookies get blocked by default also. Mozilla fills in the login info at login time for me, lets me tell a site to login by clicking the right key, some sites autologin by having mozilla remember the login and some do not depending on how they are coded.
If you get a lot of cookies from one place, and look at your cookies for domain info and see domains other than the web addresses you want to go to, you can block by domain in RESTRICTED ZONE explicit entries and then all cookies that are not session only cookies will be blocked for the domains you enter, and in fact many session cookies with certain kinds of content in them will be blocked by domain entry there also. IE's zone settings also let you remove a domain from the restricted zone.
The thing to remember is there is give and take with all such choices, and no one of them will work best alone. A lot of domains that AdAware or SpyBot show as domains that feed Data Miners also end up with domain info shown in the details of what those programs find end up listed in restricted sites zone in IE.
I let IE block some things with zone entries, to say this in one sentence. If there are sites that I KNOW do not play dirty tricks I do not want to accept, I sometimes put some, like
http://*.microsoft.com , into trusted sites zone, but am very careful about what sites end up there by me putting them there-- there is a way to do this. If you folks ask how to do what you want to try, can explain some about how to do this for the version of IE I have. But unless you know the bad domains to know what cookies NOT to accept, you can break SOME sites' access coding easily by telling IE to take no cookies from that domain. Then you get to undo your choice.