A "cookie" is data stored by a website on your computer's disk which keeps track of certain settings. The ECN site, for example, uses them to store your preference settings ("Display message for last xx days") and to keep your user ID and password on file if you wish so that you don't have to type them every time you logon.
It's possible that the site you're trying to access requires cookies but you have them disabled in your security settings (like a lot of these fancy gizmos, cookies can be misused).
So long as you trust the site, try enabling cookies and see if it works. The way to do that will depened upon your browser, but if you're using Internet Explorer you can get at them thus:
Tools -- Internet options -- Security
Then set the security level to medium or lower, or better yet go to Custom level and look for the enable-cookies option.