Light cookies serve a similar usage to Gobos in photography, in video games a Cookie is a projected texture from your light source, imagine it as a texture that covers the lens of your light source and effects all light that passes through.
This is used to simulate the effect that light produces when passing through different types of light fixtures. Cookies are often used to simulate IES light profiles to achieve more realistic light shapes.
Bellow is a list of the currently available Cookies in SteamVR Home, there texture and their usage ingame.
To apply a Cookie texture to your spotlight, select it in hammer and find the “Light Cookie” field in the spotlights object properties. Here add the name of one of the Cookies from the list above.