Cookies are small files which are stored on a user's computer. They are designed to hold a modest amount of data specific to a particular client and website, and can be accessed either by the web server or the client computer. This allows the server to deliver a page tailored to a particular user, or the page itself can contain some script which is aware of the data in the cookie and so is able to carry information from one visit to the website (or related site) to the next.
To check whether your browser is configured to allow cookies, please browse to the Cookie checker here: http://www.whatarecookies.com/cookietest.asp
For more information on what cookies are, please browse to the articles here: http://www.whatarecookies.com/