There is a lot of talk these days about tracking, cookies and so on. You can read a lot of good and lot more bad information about the role that cookies play on your system but rather than go through a whole heap of stuff here I’ll refer you to:
which will not only explain to you about all the different forms of cookies but also test your system to let you know where you are potentially expose.
The first step to being is more secure is having an understanding of what being secure actually means. The above site should put you well down that path.