First-Party vs. Third-Party cookies

From Microsoft Internet Explorer Help

A first-party cookie either originates on or is sent to the Web site you are currently viewing. These cookies are commonly used to store information, such as your preferences when visiting that site.

A third-party cookie either originates on or is sent to a Web site different from the one you are currently viewing. Third-party Web sites usually provide some content on the Web site you are viewing. For example, many sites use advertising from third-party Web sites and those third-party Web sites may use cookies. A common use for this type of cookie is to track your Web page use for advertising or other marketing purposes. Third-party cookies can either be persistent or temporary.