COOKIES

A cookie is just a bit of text in a file on your computer, containing a small amount of information that identifies you to a particular Web site, and whatever information that site wanted to retain about the user when they are visiting.
Cookies are a legitimate tool used by many Web sites to track visitor information. As an example, one might go to an online computer store and place an item in the basket, but decide not to buy it right away because he/she want to compare prices. The store can choose to put the information about what products he/she put into the basket in a cookie stored in the computer. This is an example of a good use of cookies to help the user experience.

The only Web sites who are supposed to be able to retrieve the information stored in a cookie are the Web sites who wrote the information in that particular cookie. This should ensure your privacy by stopping anyone other than the site you are visiting from being able to read any cookies left by that site.