They are used to store your session details and keep you logged in while using the software. You must have cookies enabled (most web browsers have it enabled by default - it would probably need to have disabled it for the message to appear).
Please note, sometimes web browsers throw false-positive errors: showing a cookie-related warning when cookies are, in fact, enabled. In this case, please just try logging in again to make sure. If it still fails, please check your browser settings to enable cookies.