I have no idea what all the "Internet Options and Security Levels" in IE do, but I usually have all mine set to prompt. So I get a bunch of windows when I go to certain sites asking if I want to let scripts run, accept cookies, etc. I usually say no to all of it except when I want to buy something, when I start adding stuff to the cart then I start saying yes.
With this site, I believe I let it save cookies a long time ago, but it doesn't ask me everytime I come here. I don't fully understand it.