Not exactly those kind of cookies.  Cookies in computer terms are little files on your computer (harddrive) that stores some information about you.  They can store your preferences for certain websites, your authentication information if you need to login etc.

Have you ever been told you should delete your cookies? Well, generally this is a good practice as it will remove these text files from your computer and in the process clean away your personal information as well.  There are some drawbacks when doing this, as it will *forget* all your stored authenication information for sites.

If your browser is set to remember your passwords, it will still know them when you login, but setting this option is not a recommended practice

To remove your cookies in IE follow these steps:

Tools \ Internet Options \ Browsing History \ Delete button
on the popup remove the check marks from all options but Cookies

To remove your cookies in FireFox follow these steps:

Tools \ Options \ Privacy Tab \ remove individual cookies
from here, you can remove individual sites cookies, or all.

To remove your cookies in Chrome follow these steps:

Wrench \ Options \ Personal Stuff \ Clear Browsing Data… \ Delete Cookies \ Clear browsing Data

As you can see on those pages, there is other options for passwords, browsing history and some other options.  I also recommend that you periodically update / remove these bits of your personal information as well.

Clearing your Cookies is something that you should do time to time just to make sure that you have removed the settings, and personal data for websites from your computer.