Think of a cookie as an identification card that's uniquely yours. Its job is to notify the site when you've returned. While it is possible to misuse a cookie in cases where there is personal data in it, cookies by themselves are not malicious.
Many websites, including Microsoft's, use cookies. Cookies tell us how often you visit pages, which helps us learn what information interests you. In this way, we can give you more of the content you like and less of the content you don't.
Cookies can help you be more efficient. Have you ever put something in a virtual shopping cart in an online store and then returned a few days later to find that the item is still there? That's an example of cookies at work.
Cookies let you store preferences and user names, register products and services, and personalize pages.
But if you never register or leave personal information at a site, then the server only knows that someone with your cookie has returned to the website. It doesn't know anything else.