Cookies are small text files that help organise and store browsing information when people visit a website. They are not programmes, and cannot damage your computer or any files you have on it, nor can they transmit viruses.
The cookies I have on my site don't collect any personal information or anything which can identify you as an individual. They don't add you to a mailing list, nor do they enable me to contact you after your visit. They do help the site work properly, especially interactive parts of it, like the site search and menus.
I also embed some links or content from other websites such as paypal, facebook, or google. These are clearly identified, but if you click on them you may be presented with cookies from these other sites. I cannot control the dissemination or operation of these cookies and you should check with the websites they come from for more information about them.
Controlling individual cookies: You can find out more about StatCounter, and set your browser to refuse their cookies by clicking this link: http://statcounter.com/about/set-refusal-cookie/
If you prefer not to deal with cookies on a 'site by site' basis you can use your browser to automatically control which cookies you accept from any site you visit. http://www.aboutcookies.org will advise you if you do not know how to do this.