They are small files created by your web browser at the request of web sites, which store whatever data the web page is programmed to store, such as identifying information so a site can tell you have returned to the site and respond to that, which might or might not include your login information for that site, or other information about your state with that site, such as “what’s in your shopping basket” before you even log in. It could also be storing stuff you don’t really want it to, if the page is programmed to be nosy. They can be used to record which sites you have been to, and/or which ads you have clicked on, for example. If you don’t accept them, some web sites may not work properly. However, you can try disabling cookies except for specific web sites you trust and/or that you want to use and that don’t work unless you enable cookies. Your browser may also have security settings to allow only “first party” cookies (from the page you are visiting) and not “third party” cookies (which is one of the main ways sites can track your history on other pages – Firefox calls them “cross-site tracking cookies” in its security settings page, at least in the version of Firefox I’m running).