I thought the report was about Word documents, but cookies come from web sites. Whats happening here?
A Word document or other Office document can contain an embedded link to content that comes from a web site. When the document is opened, Word asks IE to retrieve the content and then displays it as part of the document. When that happens, IE goes to the web site to get the web content. The web site could attempt to store a cookie on your machine as part of the process.
