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Two things can still put a cookie in your browser while you are here, and neither is set by this site.
Cloudflare
The site is delivered through Cloudflare, which encrypts the connection and protects against attacks. Cloudflare may set its own strictly necessary cookie, typically named __cf_bm, to tell real visitors from automated traffic. It is used for security rather than tracking, and is described in Cloudflare's cookie documentation.
If you play an embedded video
Videos are embedded through YouTube's no-cookie domain, so loading a lesson that contains one does not set YouTube tracking cookies. Pressing play starts an interaction with YouTube, and Google may then set cookies under its own policies. Not playing the video avoids this entirely.
Turning cookies off
Every browser can block or clear cookies in its settings. Because this site sets none of its own, blocking them changes nothing about how it works for you.
Related
See the Privacy Policy for what the site collects more broadly, which is similarly close to nothing.