Simply put; a cookie is a mechanism that allows a web site to record your comings and goings, usually without your knowledge or consent. Within web sites such as this one cookies are used to store 'personal' information such as your logon name, your time zone and what threads you have and have not read.
Cookies can only be read by the web site that set them. A cookie set by pepsi.com cannot be read by coke.com (not withstanding browser bugs).
The name cookie derives from UNIX objects called magic cookies. These are tokens that are attached to a user or program and change depending on the areas entered by the user or program.
Every browser will have a slightly different way of allowing cookies, so please check your browser's help. You do not need to allow all cookies for all sites however you will need to at least allow RPoL to set temporary cookies to log on. Permanent cookies are preferred as they will allow your logon to persist between browser sessions.