Cookies are just small .txt (text) files that by themselves cannot hurt your computer. Cookies are "set" by almost every web-site that you visit, on every visit. You can delete all your cookies today and by tommorrow you will have dozens again.
They are not a virus or spyware, but some people consider "tracking" cookies to be an invasion of privacy.
Tracking cookies are mostly "3rd party cookies" from advertising servers. They can track your movements around the web in order to deliver to you customised, targeted advertising.
It all depends on one's level of paranoria.
If you are using Internet Explorer for a browser, you can permanantly block all 3rd party cookies. Go to tools > internet options > privacy > advanced > checkmark "override automatic cookie handling" > third party cookies > tick "block" > ok > ok.