I couldn't find why they're called that either--frustratingly enough, I think I was told it long ago! For a good explanation of how cookies work and are used, you could try this site:
http://cookiecentral.com/content.phtml?area=2&id=1 This is a commercial site--they offer several kinds of things to control cookies, I noticed.

I also found a place for some cute font downloads, if anyone's interested:
http://www.fontfoundry.com/