Martin,
it depends. Cookies can be used for positive or negative purpose. Cookies are created when you visit a site (depending on the site).
They store information such as your login info (so next time you come to site you don't have to login). Google does this.
They store information such as your suffering behavior. I think Amazon does this. Amazon stores what kind of books/products look at and store that information in a cookie. They use this information to make related recommendations to you. Ever noticed how they know what books you looked at previously..
Cookie is a just a text file that is created by the site and sits on your computer.
If google is asking for your to enable cookies, you can be sure that it is safe because Google is reputable company and i'm sure they will protect your info.
I don't recommend IE. Why? because IE is not safe. It has tons of security issues. I recommend Fierfox. Majority of tech savvy people will recommend this browser. It is free, safer than IE and tons of cool functionalities.