Cookies are small text files that are stored on your computer’s hard drive or in your mobile device’s memory by websites you visit, to enable the site to ‘remember’ who you are. In general, cookies are only visible to the site that serves them, not to other websites.
For details see codex.wordpress.org/WordPress_Cookies
If you wish to restrict or block cookies, you can do this through your browser settings. The ‘Help’ function within your browser should tell you how.
Alternatively, you may wish to visit www.aboutcookies.org which contains comprehensive information on how to do this on a wide variety of browsers. You will also find details on how to delete cookies from your machine as well as more general information about cookies.