HTML5 cookies are the latest threat to your browser privacy.
Like ordinary cookies and Adobe Flash cookies or locally stored objects (LSO’s) they can be used to track your online browsing.
Like flash cookies (see: http://www.islandearth.com/articles/2011/7/22/how-to-block-lsos-flash-cookies.html) you can block them completely within Internet Explorer by unticking this option under Tools, Internet Options, Advanced, Security Section:
The DOM Storage folder is located at:
c:documents and settings[Username]Local SettingsApplication DataMicrosoftInternet ExplorerDOMStore
A good site for checking DOM Storage is: http://www.quirksmode.org/html5/tests/storage.html