How I handle cookies with IE9....

I do not keep cookies........ I eliminate them after each browsing session. Even if you have set IE9 to automatically delete cookies at closing, it does not get them all. Because I like to view the stubborn cookies that have remained, I use the free CCleaner to get rid of what is left. CCleaner "Analyzes" and shows the list of cookies remaining and cleans them out toally in seconds when you "Run" the software. If CCleaner shows any tracking cookies when I close the browser, I get rid of them....if not, I have the option to wait until my next session.

My IE9 browser is very, very fast, and I have never seen any disadvatages to eliminating cookies.