When you visit a web site, the site often stores information about you on your own PC, in a small text file called a cookie. Mostly, it simply stores a record of your unique ID number, so that it can recognize you if you log in again at a later date. It may also store details of your activity on the site, so that the site, or other sites to which it is affiliated, can show you adverts which are relevant to the topics you've been viewing.
If you want to know what's in those cookies, you need a cookie editor program. And one great example of such a program is Cookie Spy.
Cookie Spy is free, and you can get it from www.cookiespy.com for all versions of Windows from XP onwards. It's a 0.5 MB download, although it will also download a further 5 MB of information when you run it for the first time. And it'll also install the .Net Framework v3.5 if you don't already have it. According to VirusTotal it's free of malware and viruses.
When you run cookiespy, it will show you all the cookies on your PC. You can view, delete, and even edit your cookies, although if you want to delete them all it's probably easier to use the "delete all stored content" option in your browser.
Try Cookie Spy, and see what your favourite web sites have been saying about you behind your back.