After you visit a website, a cookie (first-party cookie) is text placed on the hard drive of your computer by the server of that website with the purpose of recognizing your browser or recalling specific information to your browser should you return to the same site again. However, third-party cookies are cookies placed by a website from a domain other than the one you visited.
In essence, third-party cookies are often placed by advertising networks that a site may subscribe to with the goal of driving sales or increasing page hits. These cookies are often blocked and deleted through browser or security settings by default.