You are allowing banner ad's that are attempting to place cookies on our computers. Ajax was the one I saw, most don't but apparently some do! Please do not support ad's that use cookies!
Check this site out, if you're worried about cookies: http://www.panicware.com/index.html I've got their old Surf Pal product, and it works really well for cookies and such. And stopping most extra window launches. The newest product, Pop Up Stopper Companion, does all that AND stops those damn casino adds you get on Yahoo and occasionally Amazon. Not bad for $40--it really helps ensure your privacy, and you can set it up so it lets cookies enable for specific sites. It can also do things like simple maintenance (clear browser history, clear temporary files, etc). Great product!