It is also a fairly technical option. If you suspect a javascript threat, you can turn off javascript by unchecking this option. Those problems are very, very rare. Opera uses a version of Java from the makers of Java, Sun Microsystems. The cookies preferences section under the Privacy preferences is one of Opera's main security and privacy controls.
Cookies are little packets of data sent back to the browser from a website.
These are often used to store login information and preferences for any site. They can also be used to track a user across various sites by large advertising firms. Then select this option and all future cookies from sites will be thrown away on exit. This allows you to access sites that require temporary cookies in order for you to access them. Often this will be site Z trying to set a cookie for site A. Run with this option on for awhile before deciding.