XSS attacks almost always focus upon sites which use cookies for storing your username and password.
The end goal of a malicious user is to steal the cookie of a user of the site, so that you can later impersonate them. (Steal in this context means get a copy of, rather than removing the original one).
This page has loaded a cookie upon your computer, if you reload the page you should see the counter at the top of the page increase.
This cookie will be used in the later lessons, so it's important that you have been here at least once. It's worth remembering that rather than just being a count as displayed here this would be something like your login details...