I think what you saw were warnings on spyware cookies. Cookies are nothing to be worried about. They get installed on your computer everytime you visit any webpage. Now some of those are good cookies that get installed for ease of use for next time you visit the same page, but some cookies are spyware used for tracking users surfing habits.
Most of those cookies are third party cookies that can be blocked:
In
Firefox go to
Tools >
Options >
Privacy >
Cookies
Click the small triangle next to cookies to expand that tab and put a check next to "
for the originating website only". This will prevent third party cookies from being installed on your computer.
In
IE go to
Tools >
Internet Options >
Privacy and click on
Advanced in the Privacy tab
Now put a check next to "
Override automatic cookie handling"
Set
first party cookies to
Accept and
third party cookies to
Block
Also put a check to "
Always allow session cookies"
OK your way out.
This won't prevent all bad cookies from being installed, but will reduce the amount.
Also there is another program you can use.
Spywareblaster Prevents the installation of ActiveX-based spyware, adware, browser hijackers, dialers, and other potentially unwanted software. Blocks spyware/tracking cookies in Internet Explorer and Mozilla/Firefox. Restricts the actions of potentially unwanted sites in Internet Explorer.