If I hear one more person referring to cookies as "programs", I will scream.
I've just heard a report on BBC News 24 referring to them as just such.
A cookie is a small bit of text (such as an id) which a site can ask you to keep, and send back every time you visit the site.
There are two kinds - a session cookie (which only is in use while your browser is open), and a cookie which persists. The session cookies are just used to make sure sites work correctly - for instance, if a site is large, and runs across more than one server, the cookie can be used to make the load-balancer keeps connecting you to the same server. The problem is with the persistent cookies.
For instance, once you've logged in, a site might set a cookie with your username in it, so the next time you come back, it knows who you are before you've logged in again, and it can just ask for your password, rather than your username as well.
The best thing is, in Firefox, to choose: Edit, Preferences, Privacy, Use custom settings, Accept cookies, Until I close the browser.
If you get annoyed by your favourite sites not remembering who you are, just add them to the exceptions list.
To look at the cookies already on your computer, click Show cookies. Feel free to delete any/all of them.
In fact, the best thing (if you use Firefox) is to install No Script. It'll make some websites not work properly, but that's the point. Just whitelist the ones you use.
The law is changing this weekend, and actually this site sets a cookie (calum.org.id), so I should jump to it, and get it removed.
I don't do anything with that information though, so I'm the least of your web-browsing worries :)