What is a Tracking Cookie on a Computer?

I ran a virus scan, using kaspersy and norton on my computer, and both software applications said i had a tracking cookie! I'm worried about it, what is it? Is it a virus, adware or what?
I thought cookies were not a bad thing for your computer. Should I remove all tracking cookies?
Please explain.

Cookies are just small .txt (text) files that by themselves cannot hurt your computer. Cookies are "set" by almost EVERY web-site that you visit, on every visit. You can delete all your cookies today and by tomorrow you will have dozens again just be visiting web-sites.

Cookies do NOT slow down a computer, at least the first million or so that you might have on your computer!

Tracking cookies, like regular web cookies, are small text files that are placed on your computer's hard drive when you browse certain websites. The difference is that tracking cookies install themselves on your computer, even when you do not visit the website that is supplying the cookies. Tracking cookies secretly monitor your web browsing activity, track personal information and should be dealt with.

So I suggest you delete all tracking cookies in your computer.