check the offending cookie
note the website that set it (eg: adserver.com - the ad website, not this one)
then block that website from setting more.
In IE you do that in Tools>Internet Options>Privacy, to override cookie handling for individual websites click the Edit button and enter the name of the site you want to block.
Doing this dramatically reduced the number of tracking cookies being set for me, I've just got to do it again for Opera now!