Cookies are tiny text files that are stored on your computer, tablet or mobile phone. They are NOT harmful to your computer or your security and despite misconceptions, have nothing to do with viruses like 'Trojans'. When you visit a website, Cookies allow the website to 'remember' you and how you’ve used the website each time you come back, which means you get a much better online experience.
If you want to know more about cookies, there is lots of information readily available online.