We conducted an in-lab user study with 24 participants to explore the usefulness and usability of privacy choices offered by websites. Participants were asked to find and use choices related to email marketing, targeted advertising, or data deletion on a set of nine websites that differed in terms of where and how these choices were presented. They struggled with several aspects of the interaction, such as selecting the correct page from a site's navigation menu and understanding what information to include in written opt-out requests. Participants found mechanisms located in account settings pages easier to use than options contained in privacy policies, but many still consulted help pages or sent email to request assistance. Our findings indicate that, despite their prevalence, privacy choices like those examined in this study are difficult for consumers to exercise in practice. We provide design and policy recommendations for making these website opt-out and deletion choices more useful and usable for consumers.