"configure the browser to delete ALL cookies when it's closed".
PREVENTING: i find the alternative suggestion, to not accept (most) third-party cookies, to be much-more "workable". in IE, my privacy setting is MEDIUM/HIGH, which blocks most third-party cookies, and even some first-party. in Firefox, i don't accept third party cookies. in Opera, I "accept cookies only from the site I visit" (= first-party cookies).
STATIC BLOCKING: I use SpywareBlaster and Spybot's Immunization to block "bad" cookies in IE and FF.
REMOVING: I use SAS to remove any "bad" cookies it finds [except for a handful of vendors/sites that i'm willing to trust].
And I use CCleaner to remove "Flash-cookies" (.SOL = Shared Object, Local)