Cookies technically can not do any harm. They cannot install malware or cause trouble. Security programs usually warn you about them because they can be a privacy problem. Some cookies can track what you do and therefore can sometimes be considered a "spyware" also known as "tracking cookies".
Some reading regards to cookies and privacy related topics are followed:What are Cookies?
and Cookies related to privacy risk
. These types of cookies are used to track your Web browsing habits (your movement from site to site). As long as you surf the Internet, you are going to get cookies
and some of your security programs will flag them for removal. However, you can minimize this by reading "Blocking & Managing Unwanted Cookies
" and "Block Third-Party Cookies in IE7
The symbols on AVG isn't that important. The most important is what it's flagging and what the infection is called and the file location your security program is flagging. Most files in the %TEMP%
folder aren't really dangerous but best to remove them if your security program detected it as malware.