Cookies contain information about the use of your computer but don’t include personal information about you (they don’t store your name, for instance). Most browsers allow you to turn off cookies and this can often be done in the help section of your browser. Turning off cookies will however limit your online experience.
The relevant regulator in this area, the Information Commissioner's Office, has published guidance on the different kinds of cookies and what they are used for. The guidance, with Q&A, can be found here.