If you don't want my site to set any cookie, you may configure your browser to prohibit the setting of cookies at all. If your browser let you configure cookies by domain, you may allow or prohibit cookies especially for my domain. In addition some browser allow to delete dedicated Cookies. In that case you may delete the Cookies set by my pages after leaving them. But be aware that you will get additional Cookie-Information-Box if you come back.
In addition to my pages it is possible that Cookies are set by the embedded Google AdSense and by the social icons (Google+, Twitter, Facebook) displayed at the end of the single pages. These are so called third-party cookies. Within modern browsers it is possible to prohibit the setting of third-party cookies without prohibit the cookie setting by the visited pages.