Cookies are used to save a user’s information and relay this information between your computer and a website. This is used to authenticate a user, provide easier access to password controlled sites, or save various preferences of the user. Cookies are also used to track the sites you visit as well as what you buy online, and then can be read by companies to send direct ads to you, based on your visits. There are many other uses for cookies, but they are all for the web site owners and not users.
The reason the word cookie is used seems to come from a comparison to fortune cookies – the dessert common from fast-food Chinese inside which there is a slip of paper with a fortune. Early internet programmers likely noticed the similarities of a program that saves information within its code and the fortune cookie slips of paper. Cookies are placed on your computer and you are not told. I have an aversion to anyone saving anything on my computer so I regularly delete all cookies. All browsers have a delete cookies feature.