You are running into one of the fundamental issues regarding internet security. Just like picking a suspension setup or drivetrain for your Jeep, everything has its trade-offs.
There is basically a direct compromise between convenience (hassling with "Yes, accept this cookie... No, don't accept that one...") and security. You will have to pick some level along that scale that makes you comfortable and works for you. Most of these programs including NAV2K2 and ZoneAlarm allow you to set a custom level somewhere in between monitoring each bit that goes in or out
and leaving your backside exposed to the world
.
Again, like picking a setup for your Jeep, there are no simple, blanket answers that always work for everyone. Teach yourself what you are tinkering with. You won't be sorry.
My $.02