Click on the menu icon in the upper right corner and select Settings > Show advanced settings… > Privacy and then tap the C Privacy and then tap the Content settings button.
In the next window that opens, under Cookies, select the radio button that says “Keep local data only until you quit your browser.”
Press Done at the bottom of the window, close the settings tab, and that’s it.
Automatically deleting cookies every time you shut down Internet Explorer isn’t as obvious as it is with the other two browsers. To do so, click the gear icon in the upper-right corner and select Internet Options.
Open the General Tab in the window that appears. Under the Browsing History section, check the box next to “Delete browser history on exit.” If you’d like, you can click the Delete button underneath to customize exactly which settings are flushed every time you close IE, though cookies are wiped by default when you enable the “Delete browser history on exit” option. Then click OK and you’re ready to go!