Cookies are small files sent to the browser you used to know user behavior through the web in order to identify when it is reconnected and that in any case keep personal information about each user, not allowing access to data personal, economic or health information.
Each web site can only read cookies sent by himself, never another and their real mission is to understand the behavior of the user to enhance the experience on our website.
A cookie is not an executable file can neither propagate nor contain a virus, so if you do not grant permission for this, the website should work exactly the same.
You can set your browser to accept or reject the cookies you receive or to the browser notify you when the web server wishes to store any.
The settings of each of the major browsers can find on these pages help their supports: