Third-party cookies are cookies that are set by a website other than the one you are currently on. For example, cnn.com might have a Facebook like button on their site. That like button will set a cookie that can be read by Facebook. That would be considered a third-party cookie.

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.

Note:

If you are concerned about tracking by advertisers, see also How do I turn on the Do Not Track feature?.
Disabling third-party cookies in Firefox can stop some types of tracking by advertisers, but not all.
Some websites (for instance, Microsoft's Hotmail, MSN, and Windows Live Mail webmail) use third-party cookies for purposes that are not necessarily privacy concerns, and disabling third-party cookies may cause problems with those sites.

Third-party cookie settings are available in the OptionsPreferences window's Privacy panel:

At the top of the Firefox window, click on the Firefox button and then select Options.At the top of the Firefox window, click on the Tools menu and then select Options.On the menu bar, click on the Firefox menu and select Preferences....At the top of the Firefox window, click on the Edit menu and select Preferences.
Click the menu button and choose Options.Preferences.
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.Click Close to close the Preferences window.Close the Preferences window.

At the top of the Firefox window, click on the Firefox button and then select Options.At the top of the Firefox window, click on the Tools menu and then select Options.On the menu bar, click on the Firefox menu and select Preferences....At the top of the Firefox window, click on the Edit menu and select Preferences.
Click the menu button and choose Options.Preferences.
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.Click Close to close the Preferences window.Close the Preferences window.

At the top of the Firefox window, click on the Firefox button and then select Options.At the top of the Firefox window, click on the Tools menu and then select Options.On the menu bar, click on the Firefox menu and select Preferences....At the top of the Firefox window, click on the Edit menu and select Preferences.
Click the menu button and choose Options.Preferences.
Select the Privacy panel.
Set Firefox will: to Use custom settings for history.
Set Accept third-party cookies to Never.

Note: If after browsing with this setting, you realize you can't view properly some of your favorite websites, an intermediate solution is to set it to From Visited that allow third-party cookies coming from previously visited websites.
Click OK to close the Options window.Click Close to close the Preferences window.Close the Preferences window.

Firefox

Disable third-party cookies in Firefox to stop some types of tracking by advertisers