Our friend Mike, at SuperAntiSpyware helped describe cookies the best. Here's what he said:
Think of them like leaving footprints on a beach...
Cookies can be used to track your movement on the Internet ONLY if a site is aware of the cookies and is designed to use the specific cookies. Because of their use in tracking, many feel that this constitutes spyware.
We do not consider cookies to be threats of anywhere near the same level of severity as actual Malware threats that can steal real personal information, serve ads, or render a computer unusable.
SuperAntiSpyware will detect tracking cookies as "Adware.Tracking Cookies" and you can choose to remove them or leave them on your system. You may turn off this feature in the Preferences -> Scanning Control tab of SuperAntiSpyware should you not wish cookies to be scanned, detected and removed.
Hope this helps! - Mike, SUPERAntiSpyware