Comodo and PC Flank Referrer Check?

I got the following failure notication when visiting PC Flank.

Referrer check

While visiting web sites your browser reveals private information (called ‘referrer’) about previous sites you have visited.
Recommendation

We advise you to get personal firewall software. If you already have a firewall program adjust it to block the distribution of such information (referrer).

Comodo neither IE can not block refferrers.
If you use Opera can you block referrer like this.
If you use Firefox use an addon to block referrer.
By the way, do you really want to block referrers?