What is a cookie?

A temporary or session cookie is stored only
for your current browsing session, and is
deleted from your computer when you close
Internet Explorer.

How to Customize Settings to
Use Session Cookies

Internet Explorer 5 & 5.5:-

Click Internet Options on the Tools
menu, and then click the Security tab. Click
the Web content zone you want, and then
click Custom Level. Under Cookies, click the
option you want under Allow Per-session
Cookies (Not Stored), Click OK, and then click OK.

Internet Explorer 6:-

Click Internet Options on the Tools menu, and then
click the Privacy tab. Click the Advanced button and
select Always allow session cookies.