I can't explain about cookies em as I'm not a techi, but I will tell you what I think I understand.
Cookies place a small amount of data on your computer which speed things up when you use websites. A good example is when you buy something, the cookie keeps the information of each stage of the purchase on your pc so when you go back and forward it isn't reloading every page from the host server. This is what gives you the speed in the transaction.
Of course this happens when you browse too and offers you the info again and again. I used to feel the same irritation as you until I decided to ignore it. If I were to delete my cookies every day or every hour, then I wouldn't be able to access sites without logging in every time or make use of he benefits of cookies.
You will be asked if you accept cookies from every site you visit and you can always say no, but then you won't be able to buy.
Remember, there is no human being watching you, its only bits of data left over from your browsing and I don't see it as harmful.