This site is now inline with the new EU Cookie Directive, first I heard about it was on the news on the deadline day!
Basically they are wee text files that your browser creates on your computer which helps the website work. ie. logins, shopping baskets, flash videos etc. There is never any personally identifiable information stored or shared on these cookies and are perfectly safe to have on.
Without cookies, 90% of sites wouldn’t work and you’d have to login on every single page!