Some people prefer to be warned when a website wants to set a cookie. Even though the option does not appear in Firefox, this is another feature from the Mozilla Application Suite that is in the back-end code for Firefox.
To enable cookie warnings in Firefox:
Enter about:config in the location bar.
Right-click anywhere within the list of preferences and select New -> Boolean.
When you get asked to enter the preference name, enter:
Set the value to true.
Here’s a screenshot: