Third party cookies are almost never a good thing. Basically, a third party cookie is a cookie that doesn’t come directly from the server you’re interacting with (hence, it’s from a “third party”). Usually, what that means is that it’s a cookie from an advertiser like DoubleClick and is there to record every website that you go to that has an image or something from their server. Definitely not good.

But what is good is that it’s not too hard to protect against. In IE, just go to Tools -> Internet Options -> Privacy (tab). From here you can either set your Internet Zone to “High” or “Block All Cookies” or you can click on the “Advanced” button and set the cookie policy yourself:

In FireFox, it’s a little different story. The FireFox developers didn’t think that a “block third party cookies” option was a complete enough solution since there will always be some way around it, so they buried the option. To access it you need to browse to the URL “about:config”. From there, filter on “cookie” and you’ll see the option:

Set the “network.cookie.cookieBehavior” option to 1 as described in this page. If you want an even more robust solution, you can use the CookieSafe FireFox plugin to protect yourself that much more.