Plugins are required to support other formats. They certainly don't cost anything to download and try out. Some of them are freeware, which means they are completely free, and some are shareware, which means that if you like them, after trying them out you are encouraged to send them some money. That encouragement might be as simple as telling you each time you use them that they really would like you to send them money, or the program may stop working, either completely, or partially, after the trial period. I know that WinImage, for example, will let you use it after the trial period, but it will no longer save files after the trial period, until you register the program.
Cookies are very misunderstood aspects of the Internet.
For one thing, the cookies are not stored on the web site's computer, they are being stored on your computer. The first time you visit a site it gives a command to your browser to store a small file on your computer associated with that web page, and then the next time you visit it asks if you have any stored data associated with that web page, and if it does, it asks that cookie be sent to it so it can extract the data, which includes the date and time it was stored, and provide that welcome message. One web page cannot read another web page's cookies, and the data that is stored in the cookie is information provided by the web page. The dialogs notify you before information is transmitted. Next Time check box within the dialog.