Yup, IE offers all sorts of ways to bar cookies.
However, there's no need to switch cookies off - they can't do any harm to your PC!
On the contrary, I find it nice to have my sessions preserved, so I don't have to log in each time I open a page.
What is strange, though, is to be asked while surfing, whether to accept a cookie, liky Jny said - I've never had that!
Maybe it has to do with your settings (is it something like: "always ask me before accepting a cookie" or so?) or the OS or browser you use - so, unless it's the first, with the settings, I'd also advise not to accept any cookies when you are specifically asked to - that sounds a bit fishy to me.
Edit: this reminds me of something I'd like to ask of any PC experts here:
I recently downloaded Mozilla, but I don't like it as much as IE (it completely messes up navigation in the reply window, for example).
However, the bloody thing has made itself my "standard browser", so whenever I click a link, Mozilla opens automatically.
I just can't find an option to change my standard browser!