Cookies are not malware. They are small text files that are written to your hard drive by your Web browser. There will be a separate batch of cookies for each different web browser program you run (Firefox, Chrome, Internet Explorer, Safari). Cookies are not indicative of your machine being infected by a virus, even if your Antivirus program flags that you have “x” number of cookies.
Cookies in themselves are not a threat. They are simply text files which store information from a particular website that you have visited, so that when you go back to that website, it can retain some information from your prior visit. Without cookies, a website couldn’t remember from page to page that you had logged in to your account at that site, or keep track of the products you had put in your shopping cart at shopping site.
In theory, a cookie can only be read by the web site that wrote it, so Amazon cannot read the cookies that were written by Netflix, for example. There is one cause for concern however, and that is with tracking cookies from third party advertising networks. You know when you go to one site and it has a banner ad for Nike shoes, for example, and then on a completely different website there is also a Nike banner ad? Those ads are provided by advertising networks (doubleclick, 2o7, yieldmanager, adfarm, admax, atwola, effectivemeasure, eyereturn and many others), and those servers will write cookies to your machine to track what sites you have been to, in order to customize the delivery of ads and to sell the aggregate information to advertisers. Although this is supposedly anonymous, it is still tracking your behaviour online in a way you may not like, and the potential is there for personally identifiable information to be collected (perhaps in combination with other techniques like Web Beacons, embedded graphics, Flash and other scripting that runs along with an ad).
You can delete cookies, either within your Web browser software itself, with cache cleaning software like CCleaner (Win) or OnyX (Mac), or using your antivirus program.
Keep in mind that as soon as you get on to any websites, then new cookies will start appearing.
You can opt out of accepting cookies globally in your web browser settings (usually found under the Privacy, Security, or Content option menus). But this may give you problems with any banking, commerce or subscription sites you want to use. Alternatively, you can block cookies from specific sources with your Web browser software, and also refuse third-party cookies (that is, cookies written by servers other than the one whose page you are visiting)
For Firefox, there is an add on called Taco which opts out of 100s of known add tracker and web beacon sources.
For Firefox, the add-in NoScript allows you to control what scripts from what servers are permitted to run