You don't need to download them, Jacey they download themselves.
To be fair, they are useful when you are on the site as they facilitate the way the data goes back and forward from site to you to site (don't ask the technical details, because I am a little shaky on that. I just know that the computer their end has to know that you have received one chunk before it can send you the next) but of course all the webmasters are onto the bandwagon and drop several cookies onto you whether they are needed or not. A lot of them are from associated advertising sites which report back statistics on site usage.
They have a "sell-by date " when they expire, but some of these dates are years ahead - not necessary! Mostly, they are only needed for that session on the net.
I just checked, I did have cookies from Gransnet, Mumsnet and mumsnet ads so you probably do too.