Cookies are small text files which are stored on a user's computer. They are designed to hold a modest amount of data specific to a particular client and website and can be accessed either by the web server or the client computer. This allows the server to deliver a page tailored to a particular user, or the page itself can contain some script which is aware of the data in the cookie and so is able to carry information from one visit to the website (or related site) to the next.
There are two types of cookies: One type saves a file that is kept on the visitor’s computer, for example to store information about the visitors preferred choice of language. There are also session cookies, which are stored temporarily stored during a visit to the site, and are removed as soon as the user closes the browser, for example to use of statistical tools like Google Analytics to collect anonymous data such as the number of visitors.
If you do not want to accept cookies you can turn them off in the browser settings, or you can configure your browser to alert you every time a website tries to create a cookie on your computer. Note that this might result in some parts of the website not functioning properly.
More information about cookies (in Swedish).