Basically, the game is to make up a scenario for the next person to save the cookie from.
E.G. Player 1: I drop my cookie into Mordor. And one does not simply save a cookie from Mordor.
Player 2: But it was NOT a simple task, I lead an army into mordor to take back the cookie. But on the way back to the shire, I dropped it into a lake.
Player 3: But on the way down, Superman grabs it and brings it to New York...
And so on. I'll go first.
A bunny stole my cookie!