A cookie is a small text file that is stored on your PC. To normally contains the address of the website it is from and codes that your browser (Internet Exploer, Firefox Google Chrome, Opera etc.) sends to the website that the cookie came from. Don't worry, cookies are normally harmless to your PC. They are actually useful!
When you browse through the world wide web, the web server that hosts a web site might need to know who you are, espically if you're logging into a web site, or buying items and putting them into the web site basket. They are also used for ads that might target you. Another thing to say is that companies that gain information about your activities from cookies, are not allowed to share them with anyone else!
While cookies are extremely useful for websites, some people prefer not to have them.
Click on the wrench icon and then the "Options" link.
Click on the "Under the Hood" tab, then scroll down and click on "Show cookies and website permissions."
Click on "Remove All" to delete all cookies or select specific cookies and click on "Remove". You may want to leave the cookies in place to your favorite sites. It can be comforting when you visit your favorite site and it knows who you are and what you want to see.
Click "Close". If you deleted all cookies, you will need to log in to your favorite sites next time you visit.
Choose Tools --> Options, click the Privacy category, and look in the Cookie section. If the Accept Cookies from Sites check box isn't selected, select it. Set the Keep Until option to They Expire. Or, if you want to decide which sites can store cookies on your computer, set Keep Until to Ask Me Every Time. Firefox doesn't give you the option of accepting first-party cookies and refusing third-party cookies, except by configuring it to ask you each time a site wants to set a cookie.
You can specify which sites can and cannot store cookies by clicking the Exceptions button. You can enter the Web addresses that you definitely trust with cookies (like the shopping sites that you frequent) or that you don't trust (like advertising sites).
You can take a look at the cookies on your computer at any time. Click the Show Cookies button and scroll down the list of sites. If you see some that you don't recognize or that sound suspicious, click the Remove Cookies button.
Use the Tools --> Internet Options command to display the Internet Options dialog box. The cookie controls are on the Privacy tab, so click it. By default, Internet Explorer sets your privacy level to Medium, allowing cookies from the server you contacted but not from third-party servers (ones other than the one that provided the page you're viewing).
Third-party servers usually deliver advertisements and those annoying pop-up and pop-under ads. You can elect to manage them yourself by clicking the Advanced button to see the Advanced Privacy Settings dialog box and then selecting the Override Automatic Cookie Handling check box.