If none is present, Netscape will create one. In some cases, sites with password entry will require a cookie. In others, it remembers the password for the visitor. In some cases, they are used for shopping carts. In some sites, entry is denied unless the cookies are accepted.
Cookies have their uses, but often they are abused.
There are ways of dealing with them, both manually and with cookie oriented applications. In Netscape 4.X, there is a cookie disable which denies the creation of a file if there is none. If it is ever enabled in the preferences, then the cookies will remain until the file is removed. As long as this option is disabled, no cookies will ever enter the system, RAM or file, hence some sites may not be accessible. This is a fine solution, as long as you don't mind being barred from entry to some larger sites.