A cookie is a small text file created by a web server that is stored on the visitor's computer either temporarily for that visit/session only (temporary cookie) or permanently on the hard disk (persistent cookie). A cookie usually contains a visitor ID which is used to identify returning visitors and in some cases keep track of their preferences.
Cookies can be either 1st party or 3rd party cookies. The former is created by the website the visitor is visiting, whereas the latter is created by another website - for example an advertiser or a tracking vendor such as Netminers. Netminers' tracking script is capable of prompting the website to place 1st party cookie. This is useful because some visitors' have configured their browser privacy settings to reject all 3rd party cookies. However, 3rd party cookies are necessary when tracking visitors across different domains.