Another thing you can do that will help is run Spybot's "immunization". This will set up Firefox with a long list of specific sites (mostly ad sites) to block cookies from, and, in fact, also put them in your hosts file, so they'll be blocked from sending any data to your computer. It won't cover every site out there, but it'll keep a lot of them (particularly the worst offenders) out. (Just make sure you regularly update and re-immunize to block the latest sites.)