Some Web sites store information in a small text file, called a
"cookie," on your hard disk.
Cookies contain information about you and your preferences. For
example, if you inquire about a flight schedule at an airline's Web
site, the site might create a cookie that contains your itinerary.
Or it might only contain a record of which pages within the site you
visited, to help the site customize the view for you the next time
you visit.
Only the information that you provide, or the choices you make
while visiting a Web site, can be stored in a cookie. For example,
the site cannot determine your e-mail name unless you choose to type
it. Allowing a Web site to create a cookie does not give that or any
other site access to the rest of your computer, and only the site
that created the cookie can read it.
In Internet Explorer, you can specify different settings for
different security zones. For example, you might want to allow Web
sites to create cookies if they are in your Trusted sites or Local
intranet zone, prompt you before creating cookies if they are in
your Internet zone, and never allow cookies if they are in your
Restricted sites zone.