A "cookie" is an Internet site’s way of keeping track of you. It’s a small program built into a web page you might visit. Typically you won’t know when you are receiving cookies. Ideally a cookie could make your surfing easier by identifying you, tracking sites you visit, topics you search, and get a general feel for your preferences. This can make surfing easier, faster, more personal, and more efficient. It can also be used to collect your e-mail address for marketing (spamming) purposes.
You can set your browser to warn you before you accept cookies or not accept them at all. Check your (advanced) browser settings. Keep in mind that some secure sites, such as stock trading sites, won’t work if you don’t accept their cookies.
First Party Cookies is an Cookies from the site you are visiting.
Third Party Cookies is Cookies from a different site than the one you are visiting. For example, on About.com if there is a Double-click add on the page there is probably also a Double-click cookie.
Session Cookies. Temporary cookies used as long as you are accessing a site. For example, when you log onto About.com a session cookie is created. Each time you visit another About.com forum or post a message it uses this session cookie. Without this session cookie you would have to log in each time you post a message or visit another forum.
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