What's it for?
Advertiser features include, for example:
Remarketing, Google Display Network display reports, demographic and interest reports in Google Analytics. One of such partners that collects information is Google. How to handle the data provided can be found HERE.
What are cookies?
These are short text files created by the www server and stored on a computer through a browser. When you return to the same site later, the browser sends the saved cookie back, and the server gets all the information you have previously saved.