A cookie is a small text file that a website saves on your computer or mobile device when you visit the site.
It enables the website to remember your actions and preferences (such as login, language, font size and other display preferences) over a period of time.
Cookies of SO-CALLED "Third parties" are, instead, set by a website other than the one that the user is visiting. This is because on each site elements may be present (images, maps, sounds, specific links to web pages in other domains, etc.) which reside on servers other than the visited site.