In the older FireFox versions (<2.0), it was possible to allow cookies from sites you visit, but to disallow cookies which do not originate from that site (e.g. advertisements etc.). These cookies makes it possible for the advertising sites to track your movements on the Internet (amongst other things).
Somehow, the FireFox developers removed that functionality from the user interface, and it seems to be disabled by default. It can be enabled by using the about:config command (just type it in the URL bar in FF).
This opens the registry/configuration of FireFox.
Search the config for network.cookie.cookieBehavior (you can search by using the filter), and set the value to "1" (without the quotes).
Somehow, the FireFox developers removed that functionality from the user interface, and it seems to be disabled by default. It can be enabled by using the about:config command (just type it in the URL bar in FF).
This opens the registry/configuration of FireFox.
Search the config for network.cookie.cookieBehavior (you can search by using the filter), and set the value to "1" (without the quotes).