Ragnarok
The only problem is that you relinquish any control over First Party Cookies. It would be nice if IE would allow us to block third party cookies and still screen first party cookies. But, this is not the case.
Generally it is not a problem as most sites behave properly and use cookies for which they were designed (to personalize the web page to your needs). However, some sites go further and gather unauthorized information on you and thereby create a potential security hazard.
So, if you use IE to block third party cookies, you really should have a firewall which allows you to screen first party cookies.
Hope this clarifies matters.
