A cookie is simply a small file that a website you visit places on your computer to store information. The process itself is totally benign, and can even be helpful.
Unless you have specifically told your browser not to accept cookies, almost all websites place cookies on your devices. This is not in itself a security or privacy issue. Cookies can in fact be useful and be used by some systems to, for instance, remember your preferences, track your web usage to work out which advertisements to show you, or gain information about your social networking usage. If you worry that this impinges on your privacy, search for ‘block all cookies’ or view this page for an idea of how to tell your browser not to allow them. If you do this you may find that some websites will not work for you at all, or on others, some functionality is lost.