Understanding Cookies
Cookies are given to a browser by the server. The browser reveals the cookies as applicable only to the domain that provided the cookie in the first place.
The data in the cookie allows the server to continue a conversation, so to speak. Without the cookie, the server considers the browser a first-time visitor.
Have a look at these to know about browser cookies
http://internet-security.suite101.com/article.cfm/understanding_computer_browser_cookies
http://www.willmaster.com/library/cookies/understanding-cookies.php
https://web.archive.org/web/1/http://articles.techrepublic%2ecom%2ecom/5100-22_11-6063884.html