Im a professional web developer, Im just telling you how cookies work. They arent set by emails unless you use an online email service such as Yahoo or hotmail and use your web browser to view them. Then the advertisements could set cookies.
If you have cookies popping up on your computer without EVER using the internet, you might want to run a scan using microsofts anti-spyware utility (works fantastic regardless of what haters say). Cookies dont just pop up out of nowhere and cant be set in an email client like outlook (unless you have security set to nonexistent).
I have Time Warner's Road Runner cable service, with IE6 - and Incredimail. With cable service, I get email even when my browser is not open.