Many e-commerce companies are appointing chief privacy officers to protect consumers, and advocates for privacy rights say they have big job ahead; privacy officers themselves describe their jobs as work in progress; Richard Purcell, chief privacy officer for Microsoft, says effort to weave data protection services into very fabric of corporate culture is paying off in recently announced features in Microsoft Internet Explorer browser software program, which enable users to determine just how much information about themselves they will release to Web sites they visit; DoubleClick, biggest Internet advertising company, has taken public beating from advocates for privacy rights; it now authorizes its privacy officer, Jules Polonetsky, to rip up contracts with companies that do not comply with DoubleClick's rules for protecting consumer privacy; DoubleClick is eager to build reputation as company that protects privacy; photo (M)