'Cookies' are small files saved on your computer containing information - for example who you are or what you are looking at so that when you return to the site, this information can be used to identify you and take you back to where you where previously. Sometimes they hold things like items in a shopping basket or similar. Most cookies disappear when you close your browser but some stay on your computer for your next visit. You can change the settings in your browser to deal with cookies in different ways, including not allowing them at all but usually, if you choose this option, some things on a website may not work. Most cookies are harmless and are just there to make your browsing experience better.
Most good sites now popup a message when you first go there explaining why they are using cookies and giving you a chance to refuse them. (In fact, answering 'yes' to allowing cookies normally puts a cookie with that answer on your computer so you don't have to keep answering 'Yes' every time you visit the site).