Firefox Puts the Nix on Third Party Cookies
"Third party cookies are small scripts placed on the hard drive of your computer by—you guessed it—a third party. If you’re visiting Domain A, and Domain B is advertising on Domain A, Domain B can place cookies on your hard drive that follow you onto other sites so that you continue to see their advertisements. Third party cookies allow businesses to track users’ online behavior and use it to advertise to the user. First party cookies perform the same functions, but they are generated by Domain A and will not track the user’s activity onto other websites (domains)."
I've installed Ghostery for this.