Many websites store cookies on your computer.
Cookies are tiny files that are downloaded to your computer and managed by your browser. Their purpose is to store snippets of information between visits (e.g. shopping cart contents or visual settings).
For some of the settings you can change (e.g. setting volume levels and shuffle function) we store the value in cookies, so that on your next visit everything is as you left it.
You can change your cookie consent by clicking this button:
Hopefully that has clarified things for you.
Usually, unless you know what you're doing, you should leave cookies enabled, though in this case the impact of disabling cookies on this site is negligible.
If you have any more questions, feel free to contact me.