Firstly, do you understand what cookies and headers are?
If not then I suggest finding out about these first, there is plenty of information about cookies and HTTP headers on the internet.
Basically if you check these then WAST will record this information so it will be fixed. The same information will be sent to the server each time the script is run. This is often a bad thing as cookies are often dynamic.
In most cases you should leave these unchecked, which will allow WAST to dynamically create them which is best in most situations.
If you find out about cookies and headers then these options should make some sense.
Everywhere's within walking distance if you have enough time.