Of course, anyone with a good software firewall can do this even easier just by configuring it to block 3rd party cookies. Those are the ONLY ones that are risky in any fashion. To be clear, that risk is defined as 'they can track your progress across other websites that use the same 3rd party advertising'.
This is one of many things that a software firewall can do that a hardware one cannot because it can monitor a specific web browsing session.
Another thing a software firewall can do is prevent un-approved applications from transmitting information outwards. A hardware router/firewall cannot protect you from spyware/malware if it's using normal channels (eg, http) to send and receive instructions.
Just an FYI. For the record, I am no longer in charge of Norton Internet Security.