Download the contained archive cookie.tar.gz. Next, change-dir to a 'sources' directory of your system (e.g., /usr/local/src) and uncompress the archive using gunzip/tar.
The archive spills its contents into a directory cookie which it creates. Change-dir into this directory and type make install. This installs the cookie program into /usr/local/bin and the 'cookie jar' into /usr/local/etc. If you don't like this, then say export PREFIX=/my/prefix before starting make. The files will then be installed into /my/prefix/bin and /my/prefix/etc.
If you want to add witty quotes to the list, simply edit /usr/local/etc/cookie.jar and put in your cookies. The cookies must be separated by a single newline. If you have nice collections, let me know at karel@e-tunity.com.