A cookie is a text file that can be saved in a dedicated hard disk space on your device * during the consultation of a website through your browser. A cookie file allows the transmitter to identify the device in which it is registered during the period of validity or registration of that cookie.
* Terminal means the hardware (computer, tablet, smartphone …) that you use to view or see one site, application, etc. advertising content.
On the CNIL website: http://www.cnil.fr/vos-droits/vos-traces/les-cookies/