The site carries advertisements from various sources. Some of these advertisement delivery systems will want to set cookies on your computer. Some browsers offer you the option of managing which cookies you accept, and you are free to use those options.
Google Ads (AdSense) has the ability to track your web site visits, and tailor advertising to suit what it thinks are your interests. You can either decline the Google cookies, or opt out here.
You can also visit Privacy Choice to opt out of a lot of different ad services at once.