A cookie is a small text file that is stored on your computer from websites to help you interact with the website. Web pages don’t have memory so they use your computers memory to store types of information aimed at improve you experience. It is like your front door key to the website when you return.
Session cookies prevent you getting seen as a new visitor when you move around a website. A session cookie is life only while you are engaging with the webiste.
More information on managing your privacy through cookies can be found here http://www.aboutcookies.org