For Chrome, Google tells us we can:
From Chrome, click on the "Customize and Control Google Chrome" icon, and in the drop-down menu, select "Options"(http://www.google.com/ads/preferences/plugin/browsers.html#chrome)
Select the "Under the Hood" tab
Under "Cookie settings" select "Restrict how third-party cookies can be used
But for me it's really called "Accept Cookies only from Sites I Visit".