Cookies are messages that web servers pass to your web 
browser when you visit Internet sites. Your browser stores 
each message in a small file. When you request another page 
from the server, your browser sends the cookie back to the 
server. These files typically contain information about 
your visit to the web page, as well as any information 
you've volunteered, such as your name and interests.
Cookies are most commonly used to track web site activity. 
When you visit some sites, the server gives you a cookie 
that acts as your identification card. Upon each return 
visit to that site, your browser passes that cookie back to 
the server. In this way, a web server can gather 
information about which web pages are used the most, and 
which pages are gathering the most repeat hits. 
Only the web site that creates the cookie can read it. 
Additionally, web servers can only use information that you 
provide or choices that you make while visiting the web 
site as content in cookies.
Accepting a cookie does not give a server access to your 
computer or any of your personal information. Servers can 
only read cookies that they have set, so other servers do 
not have access to your information. 
Also, it is not possible to execute code from a cookie, and 
not possible to use a cookie to deliver a virus.

It means it maintain the one small file that contain
information on which client request comes and after giving
response it goes to accurate client through cookies.

In Short it maintain the session between the client and server.

cookies:which stores server information on client side u
open any site that information is stored in ur pc(like
images file)

advantages
the next time u open the same page(same link) the page will
be displayed quicky(time taken to open a site is less)

disadvantage
if u do any bank trancation 
if u do any online shopping with cerdit card the inforamtion
will be stored and the next person who uses that system can
view all the details