'Cookies' are small text files that are stored by the browser (e.g. Internet Explorer or Safari) on your computer or mobile phone. They allow websites to store such things as user preferences. You can think of cookies as providing a "memory" for the website, enabling it to recognise a user and respond appropriately.
This site uses Google Analytics, which is Google's free web analytics tool that mainly helps website owners to understand how their visitors engage with their website. It also sets cookies on the domain of the site that you are visiting, without identifying individual visitors.