A cookie is a text file with harmless that is stored in your browser when you visit almost any web page. The value of the cookie is that the web is able to remember your visit when back to navigate to that page. Although many people don’t know the cookies they carry used 20 years ago, when appeared the first browsers for the World Wide Web.
It is not a virus or a Trojan, worm, spam or spyware, or open windows pop up.
The cookies do not usually store sensitive information about you, such as credit cards or bank details, photographs, your ID or personal information, etc. Data that are technical, personal preferences, personalization of content, etc.
the web server not associated with you you as a person if not to your web browser. In fact, if you usually browse with Internet Explorer and try to browse the web with Firefox or Chrome you will see that the web is not you the same person is because it is actually associating with the browser, not to the person.