That is nothing at all to worry about. Cookies such as the one from this site, mean you can log into a site and your pc remembers that fact and the site does not make you login everytime you visit. (if it works for you, then cookies are enabled fine)
If you logout or clear the cookie cache on your pc, you will need to login again (reset the cookie).
Cookies can be set with a finite lifespan, to remove themselves when you close the browser, some last one year etc etc.
Sites like yahoo tend to have cookies that disappear after a short while making it a bit more secure for you. Personally, all cookies are removed when I shut firefox down, meaning any other user on my pc would not find themselves logged into lots of sites as me, if they sat down and started browsing .