Cookies are text files that contain a small amount of data and are downloaded on your device when you visit a website. Cookies are useful because they allow a website to recognize your device, your preferences (such as language), and can be used to improve your user experience online.
Other similar technologies that are used by websites are web beacons. A Web beacon is a small, transparent image embedded in an email. Web beacons send information about your interest in the message you received (such as your IP address, when each email was accessed, from what device and which geo-location).
Learn more about cookies on allaboutcookies.org.