SpywareBlaster

SpywareBlaster is a freeware from Javacool Software so do consider donating to them if you like it. So what do SpywareBlaster do? SpywareBlaster can prevent the installation of ActiveX-based spyware, adware, browser hijackers, dialers, and other potentially unwanted pests. Block spyware / tracking cookies in Internet Explorer and Mozilla / Firefox. Restrict the actions of potentially dangerous sites in Internet Explorer.

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And unlike other programs, SpywareBlaster does not have to remain running in the background.  What it does is that it goes to its host and download the latest list of sites that is deemed bad and send it to IE Cookie block list.

Tools > Internet Options { Privacy Tab } Web Site [ Edit Button ]