First party: Original Manufacturer/developer
Second party: not original, but affiliated with the first party
Third Party: unrelated to the first party
For example, in the case of Windows, First Party would be Microsoft. Second party would be a company that MS contracted out, or licensed software from; for example, in the context of XP and later Executive software can be considered second party because they wrote the disk defragmenter that Microsoft uses.
Third Party is pretty much everything else.
This applies to any number of other things; for example, if a game or program supports "mods" or "plugins" and the creator creates some plugins, their plugins would be "first-party" and so on.
