Cookies are little pieces of information that web sites store on your computer to identify you to them. Web sites will read the cookies it stores on your system to find where you browse and what you look at. Many pay services will use cookies to identify that you are a valid subscriber to their service and are entitled to use that service.

For more information try:

If you want to surf the web anonymously you need a program like :
Tor: A program that blocks ads and stops cookies. This is free software but they do accept donations to keep the project going.