what zambuck says is correct - go into
1 Internet status and configure and set a reporting level
2 Go into Personal firewall and configure the level of security you require
3 Ditto Privacy control
Realise though that if you do it all on an individual site basis you will not get any other sites unless you set them specifically. If you block cookies your functional use of sites such as this one becomes minimal. You have to compromise between wandering around everywhere and enabling the sites you want as you want which can be a pain. Its a compromise between safety and convenience
Oat,have you installed the javacoolsoftware one on your own computer?I went to www.download.com and seemingly the only free anti-spyware software ( by Primedius) was claimed to not be free after install and the respondent claimed he couldn't uninstall it either.How do you know that the author is kosher?and the software isn't bent?