Dictionary
Third-party cookie
A cookie set by a domain other than the one you're visiting, usually for ad tracking.
In more detail
What It Means
A third-party cookie is set by a domain other than the one shown in the address bar, most often an advertising or analytics network embedded on the page. This is the mechanism that lets an ad network follow a visitor's browsing across many unrelated sites.
See it in context on the homepage: What the Eye Can't See.