Cookie is probably one of the most interesting development for the HTTP.
Cookies are small text files generally not larger than 8 kbs (I’m still exaggerating). These NOT downloaded from the web. They are saved by the Browser (yes the browser, your own client). The cookie is saved when server directs the browser.
The Server sends a response header of Set-Cookie
Set-Cookie: favColor=blue; expires=Sun, 17-Jan-2038 19:14:07 GMT; path=/; domain=example.com