Allie Do you have pop-up windows blocked on your browser? Because that should stop them.
Also you can delete all the cookies which have so far been delivered, AND you can choose whether to just accept cookies, accept them IF you are asked, or ban them completely except for exceptions.
You have to actively list exceptions, and you may well find a lot of sites have bits that don't work without them.
Firefox and Internet Explorer have different ways of doing these things, but it should be possible with al browsers.