Cookies are actually harmless text files that certain web sites will place onto the hard drive of your computer. Your Internet Browser will then load the information into memory while you are visiting their site. The Cookie itself, actually takes up very little space and acts as an identification card for the visiting site.
Online Shopping sites can use cookies to keep track of items that you add to their shopping carts and quick checkout options. The cookie will keep track of every item that you add to the shopping cart while you continue to browse through different pages or even entirely different sections of their site. Every item you add is stored within the Web site’s database along with a unique ID value that has been assigned to you. Therefore, when you select the check out option, the site automatically knows what items are in your cart by retrieving those selections from its database.
This is why sites such as Amazon or eBay will prompt you to enable cookies in case you have disabled them.
Tracking cookies are benign. which is why AV programs don't delete them by default.