"configure the browser to delete ALL cookies when it's closed".
While certainly the optimum in terms of protection against bad cookies, i think most people would be more bothered by the need to repeatedly log-in to all of their "favorite" websites [e.g, e-mail accounts, and the forums in which they regularly participate], that offer (safe, first-party) cookies to remember them and/or some of their preferences. As another example, "shopping carts" use cookies to remember items that you place in the cart. if you build/use a cart, the presumption is that you want to save it, to come back to it later [after you finally decide what you want to purchase]. Deleting all cookies would delete the cart/contents as well.
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)