Do you use Firefox or Internet Explorer (or another browser)?
Each has a different way of changing that. For example, I have my version of Firefox delete the cookies when a session is done (that is, when I close all windows of Firefox).
In Firefox, you choose that under Tools->Options...
Click on the "Privacy" tab and under "Cookies", choose the best option for you. I can see the following options under "Keep until": "they expire", "I close Firefox", "ask me every time". I prefer the "I close Firefox", since I don't like keeping too many cookies in my computer. But then, you have the option of removing them everytime you close Firefox but keeping the ones you trust, through the "Exceptions..." button. I have this website's cookies and Google's cookies always saved.
In Internet Explorer, go to Tools->Internet Options, Privacy tab. There you can change the information (but I don't recommend changing much if you don't know what you're doing; you don't want to reduce the security too much for your computer).
malu
