Third-party cookies are cookies that are set by one site, but can be read by another site. For example, when you visit site1.com, it might set a cookie that can be read by site2.com.
Some advertisers use these types of cookies to track your visits to the various websites on which they advertise. If you are concerned about this, you can disable third-party cookies in Firefox.
At the top of the Firefox window, click on the Firefox button (Tools menu in Windows XP) and then click Options
Select the Privacy panel.
Set Firefox will: to Use custom settings for history.
Uncheck Accept third-party cookies.
Click OK to close the Options window.