Sorry but tracking cookies are a minor pain and some anti-spyware make a real big deal about them, in much the same way that you have in the bold coloured text. In any anti-spyware that I have ever had if it has a tracking cookie option, I have always switched it off, it is a waste of time, effort and anxiety.
In order for a cookie to track you, you actually have to allow it to do so, more by ignorance than anything else. Tracking cookies (I hate calling them tracking anything, as it gives some sort of intelligence to them) are essentially 3rd party cookies, in order for them to record on the cookie your activity at other sites.
If you disallow 3rd party cookies in your browser (why this isn't a default setting is beyond me) so the only cookie which can be used/recorded are those of the site you are visiting. This puts a crimp in so called tracking cookies.
You might also consider only using/allowing session cookies and or clearing cookies when you close your browser, this removes any such data gathering activity. I use CookieMonster to manage cookies and that allows only sites you permit to set a cookie (and only fir that site).