Cookies need to be enabled to access websites

When I try to browse using my Internet connection at my home, I frequently get a message stating that, Cookies need to be enabled for the website to be opened.
Is there anything I need to do with the Internet connection that I have. Or is this a kind of error message that am getting? I have no idea on what it is. Looking for a solution for this problem. Could someone help me? Would be very thankful for your time.
