Whenever I install Firefox, one of the tweaks I make to the default configuration is to prevent the use of third party cookies.
Cookies are small files that websites place on your computer, typically to help them keep track of who you are and/or what you're doing on the website. Few people object to these cookies, which are referred to as first party cookies.
But web pages contain ads that come from advertising networks rather than from the website you are visiting. The advertising networks also can place cookies on your computer and those are referred to as third party cookies. People concerned about privacy, and assorted anti-malware software, refers to them as tracking cookies.
