Cookies are used for storing a piece of information on client machines by web sites for a no of reasons like session management,to know user's interest or for demographic statistics.However user can enable or disable cookies on his or her wish.You can manage cookies for your Firefox 3.x in following way

Open Firefox go to Tools.

Click on Options from list.

Options dialogue box will appear.

Click on Privacy Tab.

There are two types of cookies. First Party cookies are cookies set by the website you are visiting and Third Party cookies refer to cookies that are set by a different site to the one you are visiting.

Checking Accept cookies from site checkbox will enable cookies from all sites, you can provide exceptions using exception button.

Checking Accept cookies from third party checkbox enables you to store cookies from sites other than you are visiting. Keep until drop down box can be used to set expiry period. Using show cookies button we can see cookies stored and we can remove them.
Session cookies are cookies that will exist for your session only on the website (some websites need these cookies enabled to function properly).

Make appropriate choices according to your requirement and apply.