Cookies are small files that live on your computer that store information about your website visits or activity that can be accessed by the websites you visit. They are most often used to store preferences or history for when you visit a website again. So, for example, if you put something in your shopping cart on a site, close the webpage, and then navigate back you’ll often see your shopping cart persist – that is because a cookie “saved” that cart for you.
Cookies can be used for more nefarious purposes, though. They can give a website a history of the other sites you visit and can be used to identify you even if you never give a website any personal info. Many countries have enacted legislation limiting the use of cookies – particularly cookies used without a user’s consent. The warnings you see are the website asking for your consent to use cookies to comply with these laws.
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