cookies can't actually do anything to your computer. they store information used on websites on your computer. for example, macrumors.com sets a cookie when you log in to post in the forums, and each page of the site refers to the cookie to see if you are logged in or not. if you select "remember me on this computer" when you log in, it sets a long-term cookie that is refreshed each time you visit macrumors, so that you don't need to retype this information yourself.
some cookies will give websites information about your computer, such as the web browser you're using, or how fast your processor is, even which website referred you to them, but they cannot access any files on your computer.
the only personal information a cookie is able to grab is what you put into a field on a web page, and then click 'submit'. which is why i don't enter anything i don't want anyone to find that's not already in the telephone book, unless there's the padlock in the top-right. (which, by the way, still doesn't guaruntee your security, it just means the only site that's getting the info is the one you're visiting when you enter it)
cookies are not evil, they are in fact, (in most cases) helpful 🙂
