Opening a web site, a cookie can also let the opened site to execute some malicious script or download some bad file (as described in the doc whose url I've previously posted) that can harm your system if you are not very well-protected by your antivirus, so cookies not only make the attacker aware of the fact that the computer is infected, because the cookie itself could be THE FIRST step (piece of software) that set inside your system can LEAD to a cross-site infection (so malicious cookies have not only information function).
Ok, cookies have only INDIRECT malicious (often POWERFUL) abilities, but to detect cookies with bad code, could be a further useful (and that doesn't take any additional pc resources as the cookies are very small plain text files) barrier for malware infection, as not always, antiviruses, are able to detect malware, especially very new malicious software.
However, my interest was to know if Avast can detect cookies and if they can DIRECTLY harm my pc: you answered me and I'm glad, so thanks a lot.
About other written information I'm also glad talking about them, but don't be hangry with me because this is not a school, noone is a teacher and I just want to find best ways to fight malware and to speak about and take ahead my great passion for internet security.
Thank you all.