All you need to know about third-party cookies
Third-party cookies are typically set by service partners that you include on your website. For example, you can have a "Pin it" button on your website which will store a cookie on your visitor's device, that cookie can later be accessed by Pinterest to identify the visitor's browsing history.
Another example would be an advertising service (eg: Google AdWords) which also stores a cookie on your visitor's device to allow AdWords to identify the ad campaign (and other relevant information) the visitor came from.
There are two ways you can block third-party cookies.