If you have not done so recently, it's a good idea to visit the tracking cookie opt-out page. With a few clicks you can block cookies from Doubleclick and six other Internet tracking/marketers. Ironically, you must allow the site to set a “no thanks” cookie, so cookie blockers must be turned off to make this work.
If you use more than one browser, you'll also need to repeat the exercise for each one.
Update: Ed Bott has even better suggestions.