Some companies deliberately design their web sites so that you have to allow cookies before they let you in. In cases like this, it is best to leave that web site because the people that run it are obviously not honest people. You do not have to allow cookies to visit a normal web site. Java has almost completely eliminated the customization value of cookies. In fact, this ploy couldn't be farther from the truth.
Cookies have nothing to do with graphics, movies or sounds.
The two have nothing to do with each other. In general, the best thing to do with a site that tries to force you to allow cookies is to leave. Nine times out of ten, there are several other sites that contain similar information, without forcing you into accepting cookies.