Did you follow the instructions for Firefox here?

Firefox: Open "Options" from the "Tools" menu. Click the "Privacy" icon, and open the "Cookies" category. Under "Allow sites to set cookies", just set the "for the originating web site only" option.
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With proper setting you should be able to eliminate the repeditive storing if the Firefox tracking cookies.

Third party (tracking) cookies are not by far most insidious form of spyware out there and you shouldn't necessarily be paranoid about them. However, since third party (tracking) cookies record information in a single location for visits to multiple Web sites they are capable of tracking your surfing habits from site to site. In addition if you provide personally identifiable to sites that use certain third party cookies, you may inadvertently be sharing that information among the customers of the company (advertizers) storing those third party cookies.