Yumyin - you might want to forward the above email to TNT : http://www.tnt.com/country/en_gb.html  They won't be happy about this blatant extortion of £350 in their name. Not to mention the request for your personal details ready for identity theft.

I don't think you're splitting hairs at all -- it's a good question. Blocking cookies isn't going to make your computer more secure -- they are just text files. But if you're concerned about privacy, that's when you may want to block or delete cookies, as they can be used to track which pages you viewed on a site, which products you bought, and so ...