Normally 🙂
But this talk of 1st and 3rd party relates to the individuals (actual people, companies etc) involved. The site you visit being the first party, you yourself being the second party and any other site being a third party.
So if the site you visit sets a cookie for their own domain, that's a first party cookie. If they set the cookie for any other domain, that's a third party cookie.
Both IE and FF allows you to specify an exception list to default cookie handling. You specify a domain in combination with block or allow. Then, regardless of other settings, cookies from that domain will always be blocked or always allowed.