Cookies are simple, small text files that contain tiny amounts of information. They are not inherently dangerous and cannot harm you or your computer however, depending on the cookie and who controls it, they can be used to monitor your internet usage and used for purposes such as targeting you with relevant adverts.
Cookies are placed on your computer when you visit particular websites and, broadly speaking, they are used to perform three types of task:
Cookies may also be first party (in the case of most web statistics cookies) or third party (in the case of social network cookies or Adwords cookies). This means the primary use of the cookie data is with the website owner, or another party respectively.
Most internet browsers provide the facility to disallow cookies - a simple internet search will provide you with the information for being able to perform this task for your particular browser. Be aware, however, that this function is often non-specific and, in activating it, you may prevent some websites from using essential functionality cookies.