Cookies: They are small text files, that are stored in the memory of your browser or device when you visit a website or open a message.
Cookies, for example, enable a website to identify a particular device or browser.
There are different kinds of cookies:
Session cookies: Extinguish with the end of the browser session and permit to connect your actions during this particular browser session in a meaningful way.
Durable cookies: Are maintained also after the browser session on your device
Third party cookies: are placed on your device from another site, which is connected with the called page
You can disable or remove cookies via the browser settings, that most browsers provide.
Note that you need to adjust these settings for each of your browsers separately. In different browsers, the settings are organized differently. Consult the manual/help pages.