Make sure your system time is correct.
I have also received the same error message:
Third Party Cookies Appear To Be Disabled
You can continue and log in manually
When I tried to login using https://openid.stackexchange.com/account/login/, I got this error:
This page could not be found.
I then ran this test page on my browsers:
Opera 12, Chrome 20, and WIE 10 all said that the cookie test failed.
I tried disabling my hosts file and firewall, but that did not seem to work.
When I tried the test page on a different computer, it had passed the cookie test. However, I then noticed that the system time was different than mine. My system time was several hours into the future.
I had to synchronize my system time. When I cleared the browser history and restarted the browser, it had passed the cookie test, and I was able to login.