Technically, Cookies:

Netscape invented cookies and calls them Persistent Client-side State Information. Clear as mud!! In defense of Netscape take a look at their official explanation. But if you prefer to read a simplified explanation, read on.

UnTechnically, Cookies:

Cookies are a little script sent by a website you're visiting that your browser can put into a special place on your hard drive reserved just to store cookie information. A cookie can be storing things as complicated as login information to validate that you should be able to go to that particular page or something as simple as a "Hello you were here" reminder. They reside on your hard drive and can be deleted or you can choose not to receive them. It's up to you, you have a choice! Your browser will generally give you four cookie options.

Accept all Cookies:

One option is the accept all cookies option. Any site you go to that offers a cookie will be accepted. Which, if you're a heavy web surfer will get to be a fairly substantial list as some cookies are starting to come in set to expire in a hundred years. Expired cookies will go away. Accepting all cookies will allow honest and dishonest sites to be able to write to your hard drive and retrieve information. These can attain some of your computer browser information preferences and email address. All this is transparent and you never see it happening.

Accept ONLY Cookies that get sent back to original server:

These are primarily communication and place holders when going to places such as e-commerce site and such where you carry on business while you are there. They will send a code and store your shopping cart information and such while you are shopping. These don't grab your email address or other information about you without asking you for them. This is a bit safer.

Accept NO Cookies:

This is the ultimate safest route to go as any cookie offered will be refused. Online transactions are a little more difficult or flat out impossible but you are fairly safe from terrorism or unwanted email.

Warn me before accepting cookies:

This is another option for the wary though annoying. Checking this option will pop up a window every time a cookie is offered. Some places with changing banners have cookies that are offered with each banner and can make surfing a real pain as they keep popping up while you try to read.