I'm not able to fugure out how to do it and think the person that emailed you might have made a mistake. Perhaps they want you to shut off your firewall, which is a bad idea.
To block cookies, right click on the blue IE "e". Click on "properties". On the top click on "privacy" You can adjust what you accept with the bar that's there.
Under the "general" properties, you can delete cookies.
You can also try the "mozilla" browser. That might get you in.