See instructions for: Internet Explorer, Firefox & Google Chrome | Other browsers
You can download the plugin for Internet Explorer, for Firefox and for Google Chrome from the homepage of the Google advertising opt-out plugin.
Unfortunately, the plugin is not available for other browsers. You can always opt out using the Ads Preferences Manager, but without a special browser plugin, your opt-out setting will go away when you delete your browser's cookies (you would need to set it again manually).
If you're using another browser that's not mentioned above, you can look for a common feature, which accomplishes the same as setting the DoubleClick opt-out cookie: Find a setting in your browser's settings that allows you to only accept cookies from sites you visit, or only "first-party cookies". This option may also be described as "blocking third-party cookies."