1. Adjust your browser settings
Appropriate browser settings should be your first line of defense. The trick here is to protect yourself from third party cookies, which are tiny files saved to your computer and monitored by advertisers and other entities (beyond the site you're visiting) to better understand your online behavior.
In Chrome, go to Preferences > Show advanced settings > Privacy > Clear browsing data to clear your existing cookies and browsing history. Then, from Privacy, hit Content Settings > Block third-party cookies. Check out this tutorial to see exactly how to do it on all major browsers.