I assume you are talking about the ad.doubleclick.net tracking cookie? If so, then there's nothing to worry. You'll always get them and they will always return. This just depends what sites you visit.
Everyone has them. They are even present on the MSN startpage, Yahoo startpage...
You may also want to read next:http://www.spywarein...ticles/cookies/http://www.mvps.org/...002/cookies.htm
If you want to manage your cookies you can use next programs:
For Internet explorer: CookieWall
For Firefox: CookieSafe
Keep in mind that you're not supposed to block every cookie, because some cookies are required.
Most people don't use an additional cookie manager, because it may be annoying in some cases to manually filter all cookies in the beginning, so they clean their cookies once in a while via the "clean cookies" option in their browser settings.