They are small text files that web sites put on your PC.
Some are nothing more than small files which save your userid and password so you don't need to logon every time you visit a web site. Like when you visit Answerbank it remembers your userid and password so you don't need to re-enter it.
But others are more sinister than that and they track every web page you visit, how long you spend on it, what you are searching for and so on. These are called "tracking cookies".
There is a small free program I use called Super Anti Spyware that will delete all your tracking cookies, but keep all your "good" ones.
http://www.superantispyware.com/
You can change your browser settings to delete all cookies when you quit the browser and so on, but this can be a pain as you need to logon to web sites again.
If you delete ALL your cookies then you will need to logon to EVERY web site you visit that needs a userid and password every time you visit it.
Note because they are small text files you cant get a virus or other nasty from a cookie.