Q. What is a cookie?
A. Cookie is a small file or piece of information that your internet browsers allow web sites to store on them. This information is stored only in textual form and therefore does not harm your computer in any way. This information allow web sites to better interact with your browser.

Q. Is there a security issue related to accepting cookies?
A. No. It is not a security issue to accept cookies. Cookies are used to store variety of information on your Internet browser that help a website better interact with you. For example, you may specify to a website your mailing zip code and that website displays for you, your area forecast on your next visit.
Cookies are also used by websites to identify you as a unique visitor among thousands of visitors that may be visiting that website concurrently. This helps websites offer you dedicated attention.