A Cookie is a small text file, that is placed on your machine. The cookie will help the site provide a better user experience. In general, cookies are used to retain user preferences and store information. For things such as shopping carts, and to provide anonymised tracking data, to third party applications like Google Analytics.
As a rule, cookies will make your browsing experience better, and a less frustrating experience. However, you may prefer to disable them, on this site and on others. The most effective way to do this, is to disable them in your browser.
I suggest consulting the Help section, of your preferred internet browser, or to take a look at the About Cookies website which, offers guidance for all the popular modern browsers available.