Cookies are small files stored on your computer. They are put there by web sites for all sorts of reasons.
For example if you register on a web site with your name they may save your name in a cookie. Next time you go to the web site they can look in the cookie and say "welcome back Harry" or whatever your name is.
But the bad news is that some cookies are used to track your internet viewing habits. A cookie may keep track of sites you have visited and pages you have looked at so they can do targetted advertising for example.
Usually cookies are turned on by default. You can see how to turn them on and off if you search in the help for whatever browser you are using.