Cookies are tiny collections of text files that are designed to make your online experience smoother and more enjoyable. People hear that these are used to 'track' their online activity, and while true in a sense, it's not quite as sinister as the word tracking makes it sound. In actuality, cookies are used for websites to passively remember your browsing behavior, for example, your preferred language settings. Cookies are also used to ensure that any advertisements you see are relevant to you. If the advertisement is more successful, it is more cost-effective for the website, and this means they can keep their service costs lower - it's a win-win.
You can certainly use your preferred browser's settings function to change how your device manages cookies. It is possible to delete them after you're done with a website, or block them altogether, but please note that this can reduce the effectiveness of the website features, and may, in fact, completely remove certain website functionality. Your browser should contain information on how to best manage your cookie settings without interfering with website playability and functionality.