Okay, this is a bit silly, but when I came across that Adobe page that allows you to clear your flash cookies I didn’t really bother looking into what other interesting options that little applet might allow you to alter.
Turns out you can change a shitload of security and privacy related options using the other tabs displayed on top. You can deny all sites from even creating cookies on your system for instance, which doesn’t sound like a bad option to me. Nice.
So in case you hadn’t checked it out yet, it might be worth a peek.
Silly that Adobe doesn’t allow you to change these settings directly from the Flash player or from the Windows Control Panel, just like you can do with the Java VM.
Edit: you can’t turn off flash-updates anymore from the settings panel, so I removed that dead link Thanks to Kimberley H. for reporting it.