How can I prevent a cookie from being deleted

Not a major issue by any means, but each new day I find when I go to a banking site (see attached screen clip 'sant.pdf') there is a message about cookies. I click the X to get rid of it and for that day it goes only to return the next day. As far as I remember this was also happening when I had NIS though I don't recall it being as persistent. I don't have any important website 'remember me' (well just a few - Yahoo remembers me OK). Just wondered it I could stop Norton doing this (assuming it is Norton). Firefox setting are as in 'history.pdf'). As I say not a huge issue as one click and the message is gone for the day.

Thanks.