its telling me to enable cookies and where is it
Devin has described what cookies are. Some websites won't function properly without cookies being enabled. I keep my browser(s) set to accept cookies whenever a website wants to place one, but then to erase them when I close the browser so they don't accumulate. You can find the cookie settings for your browser under the Options or Preferences command (depending what browser you use) from one of the drop-down menus at the top left, just below the blue title bar (the Tools menu, if you use Firefox). After selecting that command, you may also need to select a sub-menu (in Firefox, it's a Privacy tab) in order to find the cookie settings. You can select one setting to use for all websites, or if you want to get complicated you can specify different settings site by site (like don't accept cookies except from certain specified websites, for example).
The website uses the "cookie" as a registry point on your end of the connection, so it doesn't have to reload the same information whenever it's viewed. These will eventually accumulate and muck up your PC's performance as they can pile up to an alarmingly huge directory size in some cases. You can free up some RAM and improve the performance of your system by looking for and deleting your temporary internet files regularly. I suggest monthly. You can do this easily by running disk cleanup.
To be honest, I'm not exactly sure of the details about cookies. But I can tell ya this: Anything that has ever "popped up" on my computer, I have always ignored or "x'd" out, and have never had any issues. I would suggest doing the same because it could be a virus or something that you just don't need or want to deal with. Ignore it. Final answer.
As far as allowing cookies is concerned... Are you using mozilla firefox?
Cookie: A small parcel of information stored on computers by websites.