A cookie is a small piece of information about the computer and other information like the user name and last logged in date and many more that will be stored in a client machine. Cookie will not store important information because it is a text file, so anybody can read it. You can reject the cookie, but some sites may not work without cookie. So you need to accept and enable the cookie.
It is not a virus, it will not harm your computer but, Spyware can use the cookie to read the information from the cookie because it is a text file. So clear the cookie from you system once you completed the browsing.