If you use Firefox, you can set your policy on cookies by going to "Options" on the menu bar, then to "History" and then in the "Firefox will....." bit, choose what you want to happen about cookies. I can't help you with IE, but it will have some way of being in charge.
Third party cookies (one of the choices) are cookies that come, not from the site you are looking at, but from an associated site.
What I do is to accept cookies for a day, except for sites that I have specified and know that I want to have logging me in or sending me adverts.