A cookie is simply a small text file that is downloaded in the background by your browser. It usually contains only a unique reference code that means the website can 'remember' you as you move between pages. No personal information is stored at all in the cookie.
Examples of why cookies are used include remembering that you are logged into a site even when you change pages, so that you don't have to log in again; remembering what items you have put in your shopping cart; and so on.
We use simple cookies on this website. First party cookies are used for remembering you from page to page. Third party cookies are used for analytics etc.
If you prefer that your web browser should not download cookies, then there are ways to set it not to. However, this will mean that some functionality of websites, including this one, will not work.
For more details see http://www.aboutcookies.org/