The way to access your cookie settings, in IE8, is illustrated here:
http://www.timeanddat...custom/cookiesie.html
However, nearly all of the 'regulars' (here in AB's Technology section) will, upon seeing your reference to IE8, want to scream "WHY?!!!". Internet Explorer has always been a pathetic browser, prone to loads of faults (including not displaying images properly, or simply 'losing' settings).
By far the most popular browser in the world (where 'popular' refers to making an active choice, rather than to just accepting what's already on your computer) is Firefox. It's what the majority of people around here (including me) use:
http://www.mozilla.com/en-US/firefox/new/
Download and install Firefox. You won't regret it, and you can forget all about strange error messages from Internet Explorer.
Chris