Allowing third-party cookies to be set in your browser depends on the browser you are using. You will find the simple steps on doing so via Google Chrome in a Mac:
1. Click on the top right of your Google Chrome browser
2. Once you see the drop down menu, click on Settings
3. In this view, scroll down and click on Show Advanced Settings
4. Under Privacy, click on Content Settings
5. Make sure the Block third-party cookies and site data box is not checked and the Allow local data to be set (recommended) is selected, as shown in the image below
Click here for more information on how to configure your chosen browser to allow third-party cookies (Internet Explorer, Firefox, and Safari).