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What is a Cookie?
A data packet stored by browsers on behalf of the web server.
Cookies are created by the web server with the help of the browser on the user's computer, where they are stored in a separate directory. After this, the browser sends the content of the cookie to the web server with every page request, allowing it to return a page tailored to the user's settings.
Contrary to popular belief, cookies cannot be used for spying or unauthorized information gathering, as web servers can only read the data from the cookie that they themselves wrote (meaning they already had it, for example, because the user provided it to them, or because it is not data related to the user).
Furthermore, every website can only read its own cookies, so web servers cannot steal or peek at data from each other's cookies.
Source: pcforum.hu