Older Versions of Netscape:

From the Options menu, select Network Preferences. 
Look for the Protocol tab. 
Here you will see your Cookie Preferences. 
If you still can't find your cookie preferences contact Netscape from their web site help:

http://www.netscape.com/support/index.html?cp=hom09fhlp

Netscape Communicator: 

From the Edit menu, select Preferences. 
Click Advanced. 
Here you will see your Cookie Preferences.
Double-click on Advanced, select radio dial for “Accept all cookies” or “Accept only cookies that get sent back to originating server” and make sure “Disable cookies” is not selected, finally click OK and retry your user name and password.