Guidance needed about Adobe flash security issues

I am new in the arena of Internet Security. Trying to learn things. This may sound trivial but I really need help - Recently I read an article about anonymously surfing web. I am a big fan of Adobe flash but was stunned to know that flash is one of the most vulnerable piece of software when it comes to internet security. I keep getting a warning message in my browser whenever I open any website. The message also asks me about whether Flash should be Allowed or blocked. I never took this thing seriously so far and always clicked on Allow( how obtuse I was being ). Please help me understand on website I should allow flash and on which should I keep it blocked. The article (Link given above) also states that some Flash settings should be turned off for security - Can someone please throw some light as to what is the correct configuration that I should do in my flash player.

One Last thing - Are Flash cookies somehow related to Flash player. How should I deal with them. Please Guide me.

Thanks in advance.