static void Main()
{
    SuppressWininetBehavior();

    Application.EnableVisualStyles();
    Application.SetCompatibleTextRenderingDefault(false);
    Application.Run(new Form1());
}

[System.Runtime.InteropServices.DllImport("wininet.dll", CharSet = System.Runtime.InteropServices.CharSet.Auto, SetLastError = true)]
public static extern bool InternetSetOption(int hInternet, int dwOption, IntPtr lpBuffer, int dwBufferLength);

private static unsafe void SuppressWininetBehavior()
{
    /* SOURCE: http://msdn.microsoft.com/en-us/library/windows/desktop/aa385328%28v=vs.85%29.aspx
        * INTERNET_OPTION_SUPPRESS_BEHAVIOR (81):
        *      A general purpose option that is used to suppress behaviors on a process-wide basis. 
        *      The lpBuffer parameter of the function must be a pointer to a DWORD containing the specific behavior to suppress. 
        *      This option cannot be queried with InternetQueryOption. 
        *      
        * INTERNET_SUPPRESS_COOKIE_PERSIST (3):
        *      Suppresses the persistence of cookies, even if the server has specified them as persistent.
        *      Version:  Requires Internet Explorer 8.0 or later.
        */

    int option = (int)3/* INTERNET_SUPPRESS_COOKIE_PERSIST*/;
    int* optionPtr = &option;

    bool success = InternetSetOption(0, 81/*INTERNET_OPTION_SUPPRESS_BEHAVIOR*/, new IntPtr(optionPtr), sizeof(int));
    if (!success)
    {
        MessageBox.Show("Something went wrong !>?");
    }
}