Cookies are small files that web sites create to hold useful information for when you revisit the site. So if you register with a site using a name and password it may hold the name and password in a cookie so you dont have to log on each time you visit the site.
Most people set their browser to ALLOW cookies to be created, this is normal.
However you can set your browser to NOT allow cookies to be created, or to be asked each time a web site wants to create a cookie.
You need to make sure the setting on your web browser WILL allow cookies to be created. Once you have done this you can leave it like this and dont need to change it back.