What is a cookie?

A cookie is a very simple text file that gets downloaded onto your PC when you visit a website. They generally contain two bits of information: a site name and a unique user ID. Once the cookie is on your computer, the site “knows” that you have been there before and can then use that knowledge to tailor the experience that you have. The vast majority of commercial websites — be they major online publishers, banks or ecommerce sites — will use them.

What are they used for?

Cookies are used for many different functions including auto-filling forms, counting visitors, storing shopping basket items, personalising content, targeting advertising, recording user preferences and for authentication and security.

More info here