Most current browsers allow you to disable the cookie features. However, this may make you unable to view some web sites or purchase items on-line. Hackers generally do not use cookies for hacking. Cookies are also unable to execute any applications on your system. Applets are small little Java programs that execute on your computer.
Most applets are completely safe.
However, some applets can collect information off your computer and then send it back to the hacker. Be careful with the sites you visit. If you are unsure about a site's content, change the security settings of your web browser to disable active content or Java. ActiveX is another language for developing applications for web browsers. Most Active X modules are safe.