Cookies are small files placed on your browser or hard drive by website server. Lemme make it more clear to you using an example. For example, if you visit example.com and the domain of the cookie placed on your computer is example.com, then this is a first-party cookie. If, however, you visit example.com and the cookie placed on your computer says abc.com, then this is a third-party cookie.
First-party cookies are ones that are created by the Web site you are visiting. Third-party cookies are created by a Web site other than the one you are currently visiting.