Do you mean the thing that very many websites have been showing for months? It's just that they are required to give notice that they will place cookies on your computer.
A cookie is a small file placed by a web browser containing information about your session. Some are useful - e.g. to allow you to stay logged in to AF . None are harmful, though I personally block those used by advertisers to track your navigation.
They've been there all along on most websites. The only difference is that now (at least within the EU, not sure how widespread otherwise) they are required to inform you that they are doing it. It's nothing to worry about.
If you mean something else, please give us more information and we'll try to answer
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