I use "Another Internet Popup Killer" available for free from downloads.com.
downloads.com also happens to be the 1st place I go whenever I'm considering installing a 'free' program. Oftentimes these 'free' programs have what's called "spyware" which monitors a users network activity & then provides that info to ? If a program of interest is listed on the site simply click on the "User Rating" percentage # & then click on the "Only Negative" reviews link to find out if there's any mention of it being spyware. Just be aware some reviewers aren't very computer literate & they may sometimes mistakenly assume a program is spyware when in fact it isn't. AIEPK has an entry indicating that it's spyware but based on my use it's not. For that reason, if necessary, read btwn the lines.
The AIEPK won't 'kill' popups that include address bars & can be overidden by pressing the "Ctrl" key.
As far as cookies, IE allows ajustment of "Privacy" settings under Tools/Internet Options/Privacy. For example, I've got "Custom" settings under the "Advanced... " button for cookie handling. Mine are "Override automatic cookie handling", "First-party Cookies"-Prompt, "Third-party Cookies"-Block & "Always allow session cookies".
Good luck.