A cookie is a small file that a web site places on your computer to allow it to retain information about your visit to the web site. Your computer will only return information in the cookie to the web site that initially placed it on your computer. A cookie should not be retrievable by any web site other than the one that originally created it. There are two types of cookies, session and persistent. Session cookies only last as long as your web browser is open. Once you close your browser, the cookie disappears. Persistent cookies store information on your computer for longer periods of time, perhaps permanently.
Please note that a cookie is not a melicious virus, trojan horse or spyware. Other than using a very small amount of disk space, cookies do not alter your computer in any way.
For more information about cookies, please visit Wikipedia HTTP Cookie