That website is required by law to ask your consent to place or retrieve files from any device you might use to browse the web. These files, called cookies are used by most websites in many different ways, including enabling you to login, buy things on shopping sites, and generally personalise your web experience.
They can also be used to keep track of the pages visited using your browser, which gives site owners important insights into the quality of their services, enabling them to improve and better meet the needs of all their visitors.
This information can sometimes be used to present advertising and other messages relevant to your browsing history.
It is important to note that cookies cannot be used to gather information from other parts of your computer, and they cannot contain viruses or other code.
All websites across the EU are now required to ask your permission to place cookies on your machine, and you can refuse to give it
If you are visiting other websites in the EU that do not ask for your consent - then they are in breach of this law and may be collecting information about your visit without you being aware of it.
You are seeing the information box on the website that brought you here because it is trying to comply with this law and wants to let you know what it will do with any data it collects using cookies.
The site should also be telling you more detail about the different cookies it uses, and how these help to provide you with the services on the site.
If you have not been given a choice, then the site may not be fully compliant with the law - in which case you also have a right to complain.
For more information all about cookies and their uses, visit Cookiepedia.