Cookies are (generally) harmless little files used by websites to track visitors.  They are stored by your internet browser (ie: Internet Explorer) on your computer similar to the Temporary Internet files.  The Temp files keep pages and images you visit on your computer for faster loading the next time you visit.  Deleting the Cookies and Temp files is very easy and will not harm your computer in any way, in fact it often helps to improve performance overall.

In Microsoft Explorer:

Go to "Tools"
Then click "Internet Options"
Then click "Delete Cookies"
Then click "Delete Files"

In Netscape Navigator:

Click here for good instructions