An external cookie is, like already mentioned above, a cookie set by another website/domain then the one you are visiting. When using IE with medium security settings you will see a stop-sign in your statusbar whenever one of those is blocked. By clicking on the status symbol, you can see which url/domain tried to set the cookie.
I was the moderator in question asking Live Wire to change his cig, after i had a warning for a blocked cookie, and the status report mentioned a cookie set by
http://www.vbhackers.com to be blocked.
After the first reply by Live Wire on my PM request to change it, i checked again on a page where his sig was visisble, and no warnings where given anymore. I don't know what has changed in this time or by who, so i offered to call it gremlins at work. Sorry to see that you see this as calling you a liar. If i wanted you to think that i was calling you a liar, i would have used that word and not blamed the gremlins.
PS Next time if you feel you have a disagreement with a staff member, please follow our rules, and contact an admin in private.