You can still surf the site without much problem. This warning seems to be a ploy to entice you to accept cookies. Some sites, however, ask for your name, address and other personal information to be stored in a cookie before they will let you access another level on the site. This is often found at commercial sites and sites where you can download software or receive personalized service. It is up to you to decide whether what you receive is worth the information you are required to provide.
Cookie files are simple text files that can be viewed in Windows Notepad.
A pop-up will display the text of any cookies. Do not edit. The domain of each cookie is the URL at the beginning of each text string. To decipher the rest of the information, you need to know how each variable is defined. You can also set the browser to refuse all cookies.