Two cookies are used by this site:

The essential one is the session cookie, usually called MoodleSession. Ye must allow this cookie into yer browser to provide continuity and maintain yer login from page to page. When ye log out or close the browser this cookie is destroyed (in yer browser and on the server).

The other cookie is purely for convenience, usually called something like MOODLEID. It just remembers yer username within the browser. This means when ye return to this site the username field on the login page will be already filled out for you. It is safe to refuse this cookie - ye will just have to retype yer username every time ye log in.