On IE6.0 + you have the option of allowing or disallowing cookies within the privacy options
The 'eye' if double clicked will give you a Privacy report which details if there is something on the page that you are viewing that may not have been allowed by yourself.
It isn't always accurate in its definition of a cookie as it can also view some images especially gifs as cookies or spyware so i would say ignore it 
but it's up to you lol
Right off out with Stu and the missuses tonight for a Chinese followed by a visit to a casino [:0] - I promise I won't throw the site in on the tables lol