Cookies are small text files that websites send to your computer. They let the website know when a user has returned and this lets the site bring up information relevant to that user, for example your name, past orders etc.
Cookies are not computer programs, and can't read other information saved on your hard drive. They cannot be used to spread viruses, or get a user's e-mail addresses etc. They only contain and transfer to the website as much information as the users themselves have disclosed to that website.