Cookies are used to	temporarily store information on your computer for use by the website, the amount of information is typically small, like a single ID number.
Many sites need	cookies to be enabled before they can function correctly. Symptoms of cookie related problems can be a site repeatedly sending you to the wrong page, refusing your attempts to log in or losing track of information about you in some other way.
For more information about what cookies are you can read Microsoft's explanation. For a detailed discussion of cookies see CookieCentral a	popular website on the subject.
If you aren't sure if you have cookies enabled or not you can try Weblink's cookie test.
Set the security level to Medium or lower.
Remember to close all your browser's windows, to allow the changes to take effect, before attempting to access the site again.
A number of alternatives exist if you are unhappy with this solution. Depending on the browser you use, cookies can be enabled selectively based on the type of cookie or the site they come from or even based on the privacy policy of the site sending the cookie. Such options are too many and varied to be explained here. If you are interested in these try the links at the top of the page or perform a search with the keywords 'cookies' and 'settings'.