Cookies are small pieces of information that are sent from a web server to a web browser. The purpose of this is to enable the server to collect information from the browser.
Non-registered visitors of the site are sent anonymous cookies to keep track of their browsing patterns and build up a demographic profile.
Most web browsers allow some control of most cookies through browser settings.
To opt out of being tracked by Google Analytics across all websites visit http://tools.google.com/dlpage/gaoptout.