These are cookies in varying forms, planted by the sites usually in Temp Int Folder) to remember passwords, or to keep track of how many times you've logged on etc. Some are more intrusive than others and would be trojans and spyware. (I visited a site last week and it managed to give me 2 viruses even without me clicking any hyperlinks.) You can get rid of them by deleting T I F and running adaware or spybot etc.
When you 1st visit a site cookies are implanted on pc which liaises with site and your cache accepts site info which subsequently loads faster. If you can't understand I'm sure someone else can explain it better.