A cookie is a small file on your computer that your browser has access to so that it can store information it needs to enable a website to work properly. The COMWeb application uses cookies to store your login information so that you are not forced to login on every page. It is perfectly safe and is only accessible by the COMWeb application, not any other website. The cookie is stored encryped so that no one can look at it.
Under IE, Click on Tools, then Internet Options, then Privacy. If your setting for the Internet Zone is higher than Medium, you may be blocking the creating of cookies from this site. You can either lower your setting or add the site to the safe list. Click on Sites, add the site URL, then click on Allow