Automatically deleting cookies every time you shut down Internet Explorer isn't as obvious as it is with the other two browsers. To do so, click the gear icon in the upper-right corner and select Internet Options.
Open the General Tab in the window that appears. Under the Browsing History section, check the box next to "Delete browser history on exit." If you'd like, you can click the Delete button underneath to customize exactly which settings are flushed every time you close IE, though cookies are wiped by default when you enable the "Delete browser history on exit" option.
Then click OK and you're ready to go!
If you want to get more serious about online tracking beyond flushing your cookies every time you shut down, there are a number of third-party add-ons worth checking out, such as AdBlock Plus, Do Not Track Me, and the Electronic Frontier Foundation's Privacy Badger.
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