How the heck so do I install cookies?

Depending on which browser you're using, under the "Tools" menu choose "Internet Options" and look for your "Security" settings. Somewhere there should be an option to "Allow Cookies" or something similar. If you cannot find anything on cookies specifically, just set your security settings to the lowest possible level.

OH THANK YOU THANK YOU THANK YOU!

Blondie,

Now your grief begins....oops, I wasn't supposed to tell that. Please go back and set privacy to not less that medium level...or default. A session cookie is one that is written from afar into your temporary folder. It allows the site you're visiting to keep track of things while you are there...this can help the site "deliver" features which you request... A session cookie is not permanent like other cookies. If you clear your temporary Internet folder--which you should do from time to time--the session cookies will be deleted (sent to Recycle folder/waste basket). Permanent cookies are another matter. They can be used beneficially, say, to identify you to your bank's or credit card's web site when you return. They can also be used for ill, to track your surfing activities and put advertisers and spam purveyors on your track. The level of privacy you set establishes certain criteria for when a cookie will be accepted and when it will not. Generally, the highest level (accepting no cookies) is safest, but that setting might prevent your access to some Web content. The lowest privacy setting is the riskiest because it has no criteria and accepts all cookies, not matter what there purpose. So the best privacy setting--for those who do not want to decide on each cookie "offering," one by one, would be either medium or high-medium.

Privacy criteria pertain generally to certain policy issues which a web site has agreed to abide by and provide. Explanation of that would go beyond the scope of your question. You can search for the information via your browser's/operating system's Help facility, or via online search (e.g., what are cookies; what are privacy settings).