Cookies are small files that Yandex.Browser uses to record data about sites you've visited. Normally, websites store cookies in the user's browser in order to "recognize" the visitor (for example, to avoid asking for the username and password of a user who recently logged in on this website).
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.