You shouldnt worry too much about cookies.
They can come from any website, and browser can get third-party cookies from other sites too, example when you goto a website that had advertising.
I am not a fan of cookies either though. I dislike them, but you shouldnt worry much about it.
If you use Mozilla Firefox (which you should), then you can goto options menu and change so that it by default blocks all cookies except those you explicitly allows and those should be from sites which have login systems that you need to use, such as webmail and forum sites.
If you use Internet Explorer, you can goto options menu then Privacy tab then Advanced button, then select to Block third-party cookies.
http://www.GetFirefox.com