A tracking cookie is a special type of cookie (text-file) that is placed to identify an internet user on one or more websites. On the basis of the pages that someone visits, general knowledge can be obtained about the way in which a website is used, but it is also possible to determine what that person is interested in. Building rich profiles with such information can then be used for behavioral targeting like showing banner ads from related advertisers. Because tracking cookies are usually placed from external domain names by other parties, they are also referred to as third party cookies.
The use of tracking cookies has been subject to certain conditions since the introduction of new cookie legislation in 2012. For example: visitors must be informed about the data that is collected and it must be possible to disable these cookies. Certain cookies may only be placed if the visitor has given permission for this. This applies to marketing cookies such as tracking cookies.
Are tracking cookies malware? Basically: no. But that depends on what your own preferences are: you might find it handy that websites show advertisement that is relevant to what you are interested in, others feel that is is too much and see this as a privacy-concern, but a tracking cookie itself causes no harm to your system.
There are many scanners to be downloaded that locate tracking-cookies and are able to delete them, that might come in handy for a lot of people, because regularly deleting all cookies will also result in loosing your login-credentials for trusted sites.