In Mozilla Firefox 3 it is far more obvious how to do this than in Internet Explorer. I briefly tried looking through IE’s settings but was not successful. The steps are Edit –> Preferences –> Privacy tab then under Cookies you will see “Keep until: <dropdown menu>”. Click on the dropdown menu and select “I close Firefox”. Note that to the right you can click on Exceptions and allow/disallow cookies on a per site basis. For example, if you wanted to stay logged in on a specific site across browser sessions but delete all other cookies.