SpySites includes a database of over 4,600 known Spy/Sleaze sites and guides you through the simple process of including them in Internet Explorer's Restricted Zone and setting policies to prevent them from performing intrusive acts on your PC.
In additional to this the program also provides you the following:

Cookie Monitor: When you're surfing the Web and Cookie activity (New or Modified) is detected a Popup Window will appear in the lower right corner of your screen and will remain visible for 5 seconds.

Cookie Scanner: This option will scan all your Cookies for over 100 of the most commonly used Spyware and Tracking Cookies.

Cookie Manager: Shows the Cookies that are installed on your PC, who installed them when they expire, etc.

Page Scanner: Using the Page Scanner lets you know ahead of time or while you're visiting the site what type of Objects/Scripting they use.

Restricted Zone Manager: This manager displays a list of all Sites you have in the Restricted Zone and allows for quick removal when necessary.