Cloudfront.net

When a site attempts to use Flash player on my pc, I receive a message stating Adobe settings wants to store data on my pc, from a site called 'cloudfront.net' I am given two options to press, 'Allow' and 'Deny'. For video content, this is removed by selecting Deny, however for any games, the message remains on top of my window. Is anyone able to explain what this is and whether it is safe to Allow.