Some cookies are erased from your computer once you close your web browser window. These are temporary and only last for your web session. These are called session cookies. Session cookies are used to improve navigation on websites and to collect statistical information about website visitors.
Other cookies last for longer periods. They are stored on the hard drive of your computer and stay there unless you delete them. These are called persistent cookies.
Persistent cookies store information on your computer for various reasons, such as retrieving information which you have previously provided (e.g. usernames and passwords which you have asked the site to remember), helping to determine which areas of a website you find most valuable, and customising the look or content of website based on your preferences.
The steps you need to follow to stop your web browser from accepting cookies will depend on the browser you are using. More information is available at: www.aboutcookies.org.