If you want to visit that particular web page, I guess you do. But the fact is that cookies are used by almost every website to track what you've done on that web site. They can keep track of where you were when you last visited, what you last did, what you last typed, and so on. Cookies are generally benign. You'll find options in your browser to enable them only for the local site which is probably the best bet.
Look online for instructions about how to enable cookies for your particular browser. Generally you want cookies enabled for saving the local data but you want to block third-party and advertiser cookies. There's no reason you should be storing that information locally.
Here are links for popular browsers:
Internet Explorer: http://support.microsoft.com/kb/196955