Cookies

Along with a reply, server sends some additional information in the header

HTTP/1.0 200 OK
Content-Length: 141
Content-Type: text/html
Set-Cookie: user_id=12345; domain=.wellesley.edu;
expires=Mon, 23-Apr-2005
 
... content follows

The first name-value pair determines the name of the cookie and a special value, often used to identify the user.

The domain value determines what sites can access this cookie (usually only the site that issued it).

Other values determine when the cookie expires, which URLs require this cookies, etc.

Clients have the option of refusing cookies (meaning that they do not store them or do not submit them with requests).

Most browsers will refuse a cookie if it directs them to submit information to a third party (not the site that issued the cookie). You can usually configure this.