Cookies are small files that the browser uses to record data about sites you've visited. Usually sites save cookies in the user's browser in order to easily "recognize" the user (for example, to avoid asking for their username and password again after the user recently visited a given site).
Using cookies has some privacy risks. For example, if your passwords are saved in cookies and set to autofill, an unauthorized person who got hold of your computer could sign into your accounts on various websites. Someone can use your cookies to find out what pages you've visited or discover correlations between various pages you've viewed.
Regularly deleting cookie files reduces the risk of a malicious user obtaining information on your internet activities. In addition, deleting cookies can free up hard disk space (the browser allocates part of the memory for cookies and if you visit lots of different websites this can be quite large).
To clear cookies:
You can remove cookies that were previously installed by a specific page, or forbid this page to save cookies on your computer.
You can set exceptions for cookies in the browser settings.