So what are cookies?
Cookies are small text data files which are automatically downloaded from a website you visit and stored on your computer. Generally they are small data files which make using a particular website more convenient (a better experience), to assist in recognising a returning customer to an e-commerce shopping site, or to track user behaviour at the website and compile user statistics, such as those websites which use Google Analytics, or to serve relevant advertisements to your browser like those seen on search engine home pages. They hold only a modest amount of data specific to a particular client and website and can be accessed via either the web server, or the client computer. This allows the website owner to deliver a page that might be tailored to a particular user, or the page itself can contain some script which is aware of the data in the cookie and so is able to carry information from one visit to the website (or related site) to the next.
In terms of third-party cookies like those used in Google Analytics the cookie will only give statistical information about your use of the site, but will retain no information personal to the visitor.
Are Cookies Enabled in my Browser?
Each browser can be set to accept or decline cookies according to the version of browser used. Generally settings for cookies can be found in the 'Options' section of your browser. You can set to reject or decline all cookies, or set a privacy level which will accept some types of cookie but decline others. Alternatively you can remove cookies by choosing the option to delete temporary internet files.
Are cookies a threat to me?
Many commercial websites will include embedded advertising material which is served from a third-party site (such as advertising from Google). It is possible for such adverts to store a cookie for that third-party site, which might store information about particular products being viewed, pages visited, etc. When the user later visits another site containing a similar embedded advert from the same third-party site, the advertiser will be able to read the cookie and use it to determine what sort of ads to display to the visitor. This enables publishers to serve adverts targetted at a user's interests, so in theory having a greater chance of being relevant to the user. It has to be said that 'tracking cookies' can be seen as an invasion of privacy since they allow an advertiser to build up profiles of users without their consent or knowledge.
Other tracking cookies may be used simply to compile data on website usage by visitors, which in turn allows a website owner to see what content is most popular, how long a visitor spends at their site and therefore to refine content to be more useful for further visitors. These tracking cookies rarely hold any sort of personal data on visitors.