Cookies sit on the clients computer, not the server hosting the website. So if you decide to use Cookies there is no issue for you with viruses.
You would use cookies to be able to provide more features customised to individual visitors to your website. If they come back to your site again at a later date, then the cookie can remember any choices they made the first time.
For example you could implement a "location" feature, where visitors to your site specified where they were from. A cookie could be used so that on subsequent visits, it would remember what they chose.