In Internet Explorer, set it to override Automatic Cookies handling and tell it to block third party cookies, but accept first party cookies. Its third party cookies that are the enemy when it comes to tracking cookies. Third party cookies are pointless, so why even allow any to be put on your computer. Are there any websites that require third party cookies to login to or visit?
However, even with accepting first party cookies only, you will still get some tracking cookies showing up with Ad-Aware, but it will be significantly less. I just block all cookies, and make an excpetions list for all websites that I log in to, or sites that require to display.