Cookie Wall is very simple to use - just run the program, which resides on your system tray (on the lower right of your screen), and it will track all the cookies that come into your system. Then, periodically just go into the 'Add/Delete' menu, browse through the new cookies in your system, and select which ones should go as well as which ones can stay - it's that simple!
Most people who are on the net these days are probably familiar with what a cookie is - it's basically a small piece of information related to you that a website stores on your computer. This in and of itself is nothing bad, the vast majority of the websitesout there use this simply to track the last time you visited (so they can show you what's new), or your login information so you don't need to login again and again - great timesavers! Of course, I said most sites, but not all. There are many companies that try to cross-reference sites that you go to, to help build customer profiles so they can target advertising at you, provide clients with buying patterns, and a whole lot more. (we even use benign cookies for raw stats)