Today, many files, both those that are downloadable or mailed to people, are not what they appear to be. Good anti-virus software scans your system not just for viruses, but Trojans, programs that hide inside of innocuous packages like screen savers and install themselves on your system. Many Trojans once they are installed offer strangers who can use them total remote control over your computer. That's a gray area. For those that don't know, cookies are files that are planted on your computer when you surf the web.
Most cookies are site specific.
When you go to a certain site it might plant a cookie file that retains information about your visit. Many folks consider this an invasion of privacy. They are probably justified in that belief when the companies who plant cookies sell the information or release it to marketing firms. When cookies are turned off within the web browser the surfing experience is often very disrupted by failure messages as well as less customized viewings of favorite sites. Third party software packages are available to help reduce cookie grief.