When registering onto one forum, it said that the forum would record or have my cookies or something...what does this mean? it said on the site that the cookies would track my internet use or something

Does that mean the administrator can track my identity down? what does the cookies show? the websites i visited? if so, does it show the data input i.e. the things ive put on that particular website or is it just the URL shown

Please please clear this up for me

And also, how can I get rid of the cookies, so that forum cannot have it