A cookie is created at the request of the website a user is viewing. The website requests the web browser create a small text file with a small amount of information, which it can access whilst you are viewing the website. The information is usually to provide some functionality such as a shopping cart to enhance the users experience on the site.

The information saved in a cookie has a name of the cookie, and a value (which can be a numeric or text value). Other information includes the domain the cookie is for (e.g. aboutcookies.org.uk), the path/page on the website (if not specified then the cookie is for all pages on the domain), cookie expiry date and time, if the cookie is HTTP only (ie cannot be accessed by javascript) and finally if the cookie is a secure cookie.

You can read more about cookies at aboutcookies.org.uk