If this is checked the Proxy Server will examine the cookie entry in the http header and the cookie rules are followed.
If it is not checked all cookies will pass transparently to the browser(s).
First of all what are cookies? Cookies are small files that contain data which originate from a web site and are used to store user specific information. This information can be anything the originating web site wishes to store. Because they can store any information the originating web site is able to collect, they can be (and sometimes are) abused. However, most often they are benign and harmless.
The default behavior of the cookie management when it is enabled (see options) is to block all cookies unless they have their behavior defined in the cookie rules. When a cookie is blocked (all by default) if it is intercepted by the Proxy Server it will replace its contents with the text of the default cookie.
If you wish to allow cookies for specific sites simply add one by pressing the Add button. Be sure that when you add a site that you only use the domain name and not add any paths.
Under rare conditions, you may wish to allow cookies for a site but only in a specific direction. For example if a web site uses its cookies to store layout information. In this case you would allow the cookie full mobility (Allowed) until you are satisfied with the layout and set the property to Allow In.
It is possible for cookies to still be written to your machine even if you have blocked cookies. This will happen if you have any scripting enabled and a web page uses a script to write a cookie. In general it's not possible to transmit this cookie back to the originating server. There are of course always security bugs which may allow this which is why you should always have the most up to date fixes for your operating system and browser.
