Cookies are a necessary evil of the internet I'm afraid.
Nothing to do with any kind of malware and or you being phished, cloned or anything else.
Websites will drop cookies onto your machine pretty much whether you like it or not. You can set your browser to it's most draconian settings with regard to cookies but they will still be there.
They do actually enhance the user experience (oooooh, get me) most of the time.
A lot of the web paranoid community get awfully upset about the information that Google gathers about your use of t'internet, they say it is just to make everything better for everyone, personally I sit somewhere in the middle - Google is evil, but it is a necessary evil - Just like income tax!
If you are really concerned, delete your cookies - using Explorer rather than your browser - on a regular basis. But, don't be surprised if you go to webpages you expect to be configured how you like them, and they're not!
