How to Change Microsoft Edge Privacy Settings
You can modify how Microsoft Edge deals with privacy settings to keep information about your browsing habits or identity safer.
In Microsoft Edge, click the More Actions button, and then click Settings.
Move the mouse pointer to the right edge of the Settings pane to display the scroll bar, scroll down, and click View Advanced Settings under Advanced Settings.
In the Advanced Settings pane, scroll down to the bottom of the pane, past the Privacy and Services heading. Click the drop-down list under Cookies, then click either Block All Cookies or Block Only Third Party Cookies.
Press Esc or click outside the pane to close it.
You can also use the Block Pop-Ups setting near the top of the Advanced Settings pane. When this setting is toggled on Microsoft Edge prevents any pop-up windows from loading when you visit a site. While pop-ups generally show harmless or annoying ads, some may be associated with phishing schemes or malware, so your computer is more secure with pop-ups blocked.