To turn cookies on in Microsoft Edge, click the three-dot menu in the top-right corner of the browser and select Settings. In the left menu, click Privacy, search, and services.
Scroll to the Cookies section and make sure Block third-party cookies is turned off. If a website still says cookies are blocked, check the site’s permissions or add the website as an exception so Edge allows cookies for that site.
You can also type this into the Edge address bar to go there directly:
edge://settings/privacy
Microsoft’s current help pages list the path as Settings and more → Settings → Privacy, search, and services → Cookies.