A cookie is a small text file placed on your computer by websites. It stores information about you. This can be a good thing or bad thing depending on what kind of info it's storing. For example this forum uses a cookie to identify you if you use the auto logon feature. It's the only way it can identify your computer, this is good because it saves you the time of having to log in. Cookies can also store information such as what links you click on, what sites you visit etc.. This is bad because because of the privacy issue. Sites can use this information to serve ads aimed right at you taking the information from the cookie.
Having said that you can take control of them in Internet Explorer and AOL by doing the following:
1. Open IE
2. On the top menu bar click Tools>Internet Options>Privacy>Advanced.
3. Put a check mark next to Overide Automatic Cookie Handling, Block First Party Cookies & Block Third Party Cookies. You will want to Allow Session Coookies so check that too.
This will block all cookies that store information about you. Some sites will not work properly with this configuration. When you visit a page look in the lower right of your browser and you will see small icon that looks like a do not enter sign. When this icon appears it means a cookie was blocked. If the site dosn't work properly you can click this icon to bring up the options for allowing cookies for that specific site if you wish.
To remove invasive cookies and other spyware see this thread: http://nepacrossroads.com/viewtopic.php?t=18