Cookie is a small text file, which will be created by a web server and saved on client during visiting a web site.
For example a cookie will be created if you log in, in some board. It is needed, to identify you as user on this board. That’s why, a cookie is very useful.
But the tracking-cookies are not only not useful, but potentially unsafe too. Those cookies will be oft used to collect private information about user behaviour in the internet.
There are many methods to protect yourself from this kind of spyware. You can disable the accepting of cookies in the browser. But if you do it, you will be not able to log in into several web sites.
The other thing that you can do is to install some anti spyware tools that will protect your computer from stealing of the data. The most of anty spyware tools can detect bad cookies and delete it. Some of them are able to do this on the fly.
Some of the best tools are Lavasoft Ad-Aware and Spybot Search & Destroy. These programs work very well and are free.