A cookie is a small text file that is stored by the computer when a website is visited by a user. The text stores information that the site is able to read in the moment in which it is seen at a later time. Some of these cookies are necessary to the site to work properly, while others are useful to the visitor because they can safely store such as user name or language settings. The advantage of having the cookies installed in your pc is that you no longer need to fill out the same information every time you want to access a site you visited before.
You can easily modify browser settings to turn off cookies. Warning: when you disable cookies your username and password will be no longer stored on the login box of the site.