How do I disable cookies in Internet Explorer 7?

I tried to disable cookies in Internet Explorer 7, I changed the settings under Internet Options → Privacy and it didn't do anything when I reloaded the page.

I read somewhere that you need to restart IE7 and then physically delete the internet cache and cookies first and finally reload the page to disable cookies. (I also had no luck with this, cookies are still present, as evidenced by my script still responsive as if cookies are being loaded.)

I think I should also point out that IE asks me if I want to enable an ActiveX component when I access a page that I created. I do not have ActiveX components on the page, but I will assume that I have Javascript on the page.

I know my script works because when I disable cookies in other browsers (FF3 and Safari) it works fine.

Am I missing something here?