Cookies are small text files which are transferred to your browser when you visit websites.
They are generally used to make it easier and more convenient to use websites.
For example a cookie will be used to remember you so that next time you visit the website you don't have to login.
Cookies are text so they can't look into your computer or read any data you have stored on it.
If you want to know more then the aboutcookies.org.uk website has a lot of information.