Cookies are small bits of text that are downloaded to your computer or other device when you visit a website. Your browser sends these cookies back to the website every time you visit the site again, so it can recognise you and can then tailor what you see on the screen.
Most browsers will enable you to manage your cookies preferences e.g. have the browser notify you when you receive a new cookie or use it to disable cookies altogether. If you do decide to disable or delete them altogether some sites won't work as well as they rely on cookies to provide you with the service you have requested (see Essential cookies, above)