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In “third-party cookie”, the word “party” refers to the domain as specified in the cookie; the website that is placing the cookie.
So, 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 some-other-site.com, then there are third-party cookies generated.