Cookies are short pieces of data that are sent to your computer when you visit a website. On later visits, this data is then returned to that website.
Yes. Cookies are just short pieces of data, and they are unable to perform any operation by themselves.
The Help portion of the toolbar on most browsers will tell you how to set your browser to accept new cookies, how to have the browser notify you when you receive a new cookie, or how to disable cookies altogether. Additionally, you can modify the settings for similar data used by browser add-ons, such as Flash cookies, by changing the add-on's settings or visiting the website of its manufacturer.