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Spyware doesn't run on linux. Exe's don't run on linux. If something were running on linux, it would take out your /home/user directory and nothing else. So, in short, don't worry about it. That's why you're using linux.
Do you login to a lot of sites as well? I can only assume a no. If you do, you can set it to only accept cookies from specific sites and then block all other sites (in Galeon this is a capability, I can only assume it is as well in Mozilla since Galeon is basically just a piggyback off Mozilla and I only use Mozilla when I'm in windoze at work...).
You shouldn't accept cookies from sites unless you trust them, hence the reason for rejecting a cookie. You can set a rejection to a cookie forever or just one time, from a specific site. So if you are plagued with cookies from say, burstnet you can reject ALL cookies from that domain, then you will not be prompted again. The software you are describing is built into your browser, you just have to use it.