A first pary cookie, is one that is owned and published by the company or persons bussiness, and is only for direct use.
A third party cookie, is on that is sent out for sponsorship and information gathering, the third pary cookie, is normally to track movement for comparitive stats.
Brief info on Cookies
A cookie is information that a Web site puts on your hard disk so that it can remember something about you at a later time. (More technically, it is information for future use that is stored by the server on the client side of a client/server communication.) Typically, a cookie records your preferences when using a particular site. Using the Web's Hypertext Transfer Protocol (HTTP), each request for a Web page is independent of all other requests. For this reason, the Web page server has no memory of what pages it has sent to a user previously or anything about your previous visits. A cookie is a mechanism that allows the server to store its own information about a user on the user's own computer. You can view the cookies that have been stored on your hard disk (although the content stored in each cookie may not make much sense to you). The location of the cookies depends on the browser. Internet Explorer stores each cookie as a separate file under a Windows subdirectory. Netscape stores all cookies in a single cookies.txt fle. Opera stores them in a single cookies.dat file. Cookies are commonly used to rotate the banner ads that a site sends so that it doesn't keep sending the same ad as it sends you a succession of requested pages. They can also be used to customize pages for you based on your browser type or other information you may have provided the Web site. Web users must agree to let cookies be saved for them, but, in general, it helps Web sites to serve users better.
