A cookie is a small file stored on your computer by a website.
You can find more information on cookies in the Wikipedia article here.
You can find out how to do this by following the links below - if you use more than one browser, you will need to follow the instructions for each browser individually.
Chrome - http://support.google.com/chrome/bin/answer.py?hl=en&answer=95647
Firefox - http://support.mozilla.org/en-US/kb/delete-cookies-remove-info-websites-stored#w_delete-all-cookies
Internet Explorer - http://support.microsoft.com/kb/278835
Safari - http://support.apple.com/kb/PH5049