Cookies are established by the web sites you visit but they are stored on your computer. Therefore you have control over them.
Some cookies go away when you close your browser. This is why you should close your browser after you log out from a secure web site.
Try it now: close all your browser windows, then go back to the Show Me My Cookies! page. See if some of your cookies have been forgotten.
Permanent cookies are saved on your computer's disk. Unless you delete them, they will be used to remember who you are when you return to the same web site later -- even weeks or years later!
Most web browsers have many options that you can set to customize your web browsing experience. If you really want to master your web travels, check out your browser menus and options!
The procedure varies depending on which browser you are using. One example will be shown here.
Choose Internet Options... from the Tools menu:
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If you want to delete cookies you already received from web sites you have visited in the past choose Delete Cookies...
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If you want to prevent future web sites from setting cookies on your computer select the Privacy tab and adjust the slider to the amount of privacy you want.
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Go bake some cookies. Then check the Show Me My Cookies! page to make sure I can't see your cookies any more.