Insect and Spider Identification: Cocoon looking things? One with a red insect inside?, 3 by nazira03

nazira03 wrote:
I found these 3 cocoon looking things on my fence today. They are bit larger than a US quarter. One of them seems to be open (it was like that when i found it) and there is a red looking insect inside..? I tried looking for it online, but i haven't found anything. They are attached to the fence. light brown in color. i touched them and they felt firm, and are stuck to the fence. My questions are:

What made these cocoons?
Is it dangerous to humans?
Will it harm my garden/fence/me?
Should i remove it?

I really want to remove them and put them in a container to see what they become. very interesting!