A cookie is a data file that is stored on your computer or device. It contains no personal data, it is only used to make it easier for you, as a visitor, to use the website.
If you do not want to permit cookies to be stored on your computer or device you can turn off that functionality in your web browser's preferences. However, the functionality on scenkonstmuseet.se could be somewhat limited.
You can find more information about cookies and the Electronic Communications Act on The Swedish Post and Telecommunications Authority's website.