A woman's vagina is often referred to as "the cookie" but I believe a woman's anatomy has many "cookies" or "sweet treats" if you will. When a woman says she’s got cookies burning, she means that her "cookies" or "sweet treats" burn with desire for the object of her affection.
That man has got my cookies burning! Someone get me a fire extinguisher!
by Platinum Punanny February 7, 2017
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