Not actually true!
From 26th May EU law says, in effect, websites must give you the choice of accepting cookies, and telling you what ones they use.  More here: http://www.theregister.co.uk/2012/05/26/eprivacy_cookie_compliance_begins/
Some cookies are useful, some track you for placing adverts.  The useful ones store information to enable an easier log on the next time you visit.  The tracking ones are the pain, they want to see where you go and then put up ads geared to what they think your tastes are.
This website  http://www.aboutcookies.org/Default.aspx?page=2   tells you how to find and get rid of cookies you don't want.

If you use Firefox you can get an addon - Do Not Track (DNT - http://dnt.mozilla.org/) that gives you a box in the taskbar to accept or reject cookies.

Richard