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Select Prompt for both first and third-party cookies. This will prompt you each time a site tries to place a cookie on your computer.
You can then evaluate the originating site, whether you wish to accept or deny the cookie, and what action to take in the future (always accept, always block, or continue to ask).
By selecting the "Sites" button (go back two slides), you can manage the cookie settings for specific sites.
You can add or remove sites, and you can change the current settings for existing sites.
The bottom section of this window will specify the domain of the site and the action to take when that site wants to place a cookie on your computer.
You can use the upper section of this window to change these settings.
In the Advanced tab, you can find default settings used by all zones.
The settings contained in the Multimedia section have features that you can adjust to protect against some potential vulnerabilities. For instance, attackers may be able to track your usage or exploit the software you use to play multimedia data.
CERT/CC recommends disabling the options to play sounds and videos by unchecking these boxes.