Thanks guys that's a lot of usefull info, but the cookie concept is still a little blury
so let me give you an example and correct me if I'm wrong.

The cookies dosen't contcat the sites, other websites do
So for example If I surf www.wacker.com and this website infects me with a cookie,
this cookie does not attempt to contact www.wacker.com but another site it's host: de.sitestat.com
tries to connect to it to get the info, hope I got this one right.

Then as Jurdanian was saying to block all traffic, that means that I have to block all traffic from www.wacker.com ?
and to do so I have to get Nihil's www.winpatrol.com and enter the word wacker?

Because I tried this one and opened the C:\Windows\Host
and I added both www.wacker.com and de.sitestat.com but it didn't
make any effect.

As for now I have browse blocked all cookies like Neptunoz says
till I properly figure this thing out.

Cheers,
B.B