Cookies are small amounts of text that can be stored on the client pc by the browser. The cookie can be accessed both at the client through the use of Javascript and also at the server. While cookies can be a convenient way to store small bits of state information, it's important to keep in mind that the client browser may have been configured not to accept cookies.
In each cookie you can not save more than 4k of information. Remember clients can open cookies and see the content of a cookie so never save a password there. Cookies are usually used to save user preference information.
External Link
ASP.NET Cookies Overview (MSDN)
Video
Read, Write, and Delete Cookies in ASP.NET