Computer help: Help, internet problem, tracking cookies?

Help, internet problem, tracking cookies?

i have a problem concerning firefox and opera and it's about the fact that whenever i type something in on google or other search engines it occasionally directs me to a different website, which may be a tracking cookie. It also happens sometimes on internet explorer, which i have updated to the current version as well as firefox and opera. I have set all three web browsers to block all cookies, which means i cannot access most of the web sites that i regularly go on. I have AVG free antivirus and a yahoo anti-spyware application that i have used, but everytime i remove the cookies, it still finds a way to come back. I have reinstalled mozilla and opera and i do not plan on uninstalling internet explorer because i have a feeling it still won't work. Can anyone please help me find a tracking cookie removal that is free and works properly? can someone please help and please explain to me what is happening????