Cookies are small text files that web sites often store on the computer hard drives of visitors to their sites. They are widely used in order to make web sites work, or work better, as well as to provide information to the owners of the site. A cookie often contains a unique number, which can be used to recognise your computer when a user of your computer returns to a website that it visited previously.
There are two broad types of cookies - 'first party cookies' and 'third party cookies':
The "Help" menu in the toolbar of most web browsers will tell you how to change your browser's cookie settings, including how to have the browser notify you when you receive a new cookie, and how to disable cookies altogether. An online guide is available if you have difficulties trying to change your browser settings.
Further information about cookies and how to control their use is available from All About Cookies and Your Online Choices.