A cookie, also known as an HTTP cookie, web cookie, or browser cookie, is usually a small piece of data sent from a website and stored in a user's web browser while a user is browsing a website. When the user browses the same website in the future, the data stored in the cookie can be retrieved by the website to notify the website of the user's previous activity.

 Some users see cookies as an invasion of privacy. However, they can also be useful for tasks such as security authorization when visiting secure websites. 

If you don't want any cookies at all, I would recommend using a browser with a private or incognito session. Google's chrome browser has an incognito browser that blocks cookies entirely as you browse.  However, you may find that for many tasks, certain websites will be unusable, particularly those with that require extra security. 

If you don't want to take it to this extreme, you can just periodically delete cookies from your browser. 

In Chrome, go to settings, advanced settings, and select the clear browsing data under privacy. You can select delete cookies and other site and plug-in data and then hit the clear browsing data. Make sure to deselect any other data that you don't want deleted. 

In Safari, select Safari, preferences, remove all website data. You can also hit the details button just below to select only certain sites to delete cookies from. Finally, you can choose the always button under block all cookies to eliminate cookies entirely from your future browsing sessions.