Google has a useful set of tools for blocking cookies -- the type your web browser generates and not the nice ones you eat. First of all, let's set straight what a cookie is. It's a small text file created by your browser at the behest of the site you have visited -- or of a third-party's site somehow related to a site you've visited.
Cookies are not programs, viruses, or Trojan horses. The intention of a cookie is to save user or activity information so that the site may "recognize" you and hopefully make your experience on their site better. The downside is that cookies can create privacy issues. This is especially true with the cookies set by advertisers. In general, you want to allow cookies from the sites you visit but probably not from third-party sites, such as DoubleClick. The link at the top of the page tells you how you may stop third-party cookies plus the ones that DoubleClick set. I had not realized that DoubleClick had gotten around the third-party cookie blocking systems, but it has. The add-ons and instructions on this Google page -- the owners of DoubleClick -- gives you all the information you need to know.