A cookie is a small text file that may be stored on your computer when you visit a site. The cookie contains no information that can be linked to you as an individual.
The textfile is not malicious and contains no program code.
Cookies are also used to collect statistics, without telling who you are as an individual. The information is anonymous and only for optimizing the site.
You can manage your cookies yourself by removing them from your hard drive, or changing the settings, but it may mean that you can not use certain features on the site.