Found an interesting blurb on the Mozillazine Forums:

You used to be able to set this via the standard user interface pre-2.0 but now you must go to the address bar and type:

about:config

You can then search for the following string:

network.cookie.cookieBehavior

change the value from 0 to 1 and restart Firefox.

This will prevent the transfer of cookie information from site-to-site. (i.e. msn.com reading your google.com cookies)