So basically, if you don't know what an internet cookie is, what are you doing on the internet? I suggest you read this then this so that you know what you're dealing with.
The only cookies that HomebrewUnblocker stores on your device is relevant to user preferences only. None of the main pages (i.e. Index, Changelog, WhatIs, GetContent, and Error) implement any sort of tracking or advertisement-related cookies (at least to my knowledge as a user of the ASP.NET framework.)