A cookie is a small text file placed on your computer by a website, which typically contains two pieces of information: the site's name and a unique ID. There are many uses for cookies, such as website authentication (logging into a website), website analytics (number of site visitors, browser types etc.), storing site preferences, saving items to a shopping cart or anything else that can be accomplished through storing text data.
You can choose not to accept cookies. However, since cookies are maintained by your web browser, the method of enabling or disabling them will greatly depend on which browser you are using. You should be able to find instructions on how to do this in your browser's Help files.
You can learn more about cookies at Wikipedia (http://en.wikipedia.org/wiki/HTTP_cookie)