They're a technology that many sites use for remembering things, by placing a small file on your computer.
Without cookies, online stores wouldn't be able to remember what you have in your shopping basket as you move from page to page, and you wouldn't be able to buy anything.
Cookies aren’t good or bad in themselves, but they can be used in both good and bad ways to remember which websites you've visited as you move around the internet.
So the good guys like us end up having to write warnings like this that might concern you even though we're doing no harm, and the bad guys who are worth worrying about just ignore the law and don't bother warning you anyway.
If you are worried, you can change your browser settings to prevent any cookies being set. But if you do that then most websites simply won’t work.