This depends on which browser you are using. Internet Explorer: Click Tools, Internet options, Privacy, move the slider from Block All Cookies to your preferred security setting. Google Chrome: Settings, Show advanced settings, Content settings, Select Allow local data to be set (recommended) or Allow local data to be set for the current session only.
Firefox: Right-click within the page, View Page Info, Permissions, Set Cookies, select Use Default or deselect Use Default and select Allow for Session. Safari: Safari, Preferences, Privacy, Allow Cookies.