Cookies are messages given to a Web browser by a Web server. Whenever you visit a page with your browser, the browser stores the message in a text file that is sent back to the server each time the browser requests a page from the server. Cookies allow third-party providers such as ad serving networks, spyware or adware providers to track personal information. The main purpose of cookies is to identify users and prepare customized Web pages for them.
Cookies can be categorized as:
* Trusted cookies are from sites you trust, use often, and want to be able to identify and personalize content for you.
* Nuisance cookies are from those sites you do not recognize or often use but somehow it's put a cookie on your machine.
* Bad cookies are those that can be linked to an ad company or something that tracks your movements across the web.
The type of cookie that is a cause for concern is the last category because they are used to track your Web browsing habits (your movement from site to site). Ad companies use them to record your activity on all sites where they have placed ads. When you visit one of these sites, a cookie is placed on your computer. Each time you visit another site that hosts one of their ads, that same cookie is read, and soon they have assembled a list of which of their sites you have visited and which of their ads that you have clicked on. They are used all over the Internet and advertisement companies often plant them whenever your browser loads one of their banners.
These bad cookies are called "profiling cookies," "persistent cookies," "long term tracking cookies," "third party tracking cookies" or simply "tracking cookies." Although these cookies are not malware, they can be considered a privacy risk and you may want to clean them out periodically.
See Blocking Unwanted Cookieshttp://www.mvps.org/winhelp2002/cookies.htm