A cookie is a small text file which is stored on the user's computer. It contains information which is used to improve the user's experience of the website. There are two kinds of cookies, where the first one is temporarily stored when you visit the website and disappears when you close the web browser. The other kind of cookies is stored for a longer period of time, for instance for functions in order to tell what is new since you visited the website previously.
If you want to disallow cookies, you can make settings in your web browser to prevent them. See the settings in your browser for more information. You can also find more information on The Swedish Post and Telecom Authority website.