SpySweeper.com is one of the best [runs constantly]. Nothing seems to get past it, and it used to be free - hopefully still is, although they occasionally ask you to upgrade to a paid version.
It isolates every cookie you or anyone else adds to your computer and asks whether you want to keep or discard.
If the website insists on the use of their cookie to use it, you could just wait and discard it as soon as you finish.

Sue