I think there may be a FAQ item on this but I can't find it. Setting them depends on what browser you are using. Most people use Internet Explorer so I describe that.
From the menu select Tools --> Internet Options... Once there select the Privacy tab and then click on the Advanced tab. Check the box that says "Override automatic cookie handling". On my PC I have "Accept" selected for First-Party Cookies and "Block" selected for Third Party Cookies. I have no problems connecting with IE but sometimes Netscape gives me problems. You may have to play with the setting a little bit until you get through.
