Depends if you want to be tracked or not – it means one site drops a cookie but another site can read it. Basically, you're browsing away and one of those marvellous adverts jiggles away at the side and drops a cookie. You go to that site or another, and it can read that cookie, and figure out where you saw the advert, that kind of thing. It's not world-ending but in theory lets entities track your progress around the net.
There's probably a very complicated explanation, but that's basically it, it stops sites reading cookies from elsewhere.
This does occasionally break things when there are different domains, I had to do this to get Teams to work in a browser.