When you view the What's this? text for First-party Cookies and Third-party Cookies on the Internet Explorer 6 Tools / Internet Options / Privacy / Advanced dialog, you are instructed to select Always or Deny.
The instructions should reference Accept instead of Always and Block instead of Deny.
NOTE: Cookies on you computer that were created prior to you configuring the Advanced Privacy Settings CAN BE READ by the Web site that created them, even if you select the Block or Prompt option. When reading these cookies, no prompt will be displayed. The Advanced Privacy Settings control cookie creation, not retrieval.
NOTE: See How to Manage Cookies in Internet Explorer 6.