Privacy glossary

Cookie is a small file which a web server writes on a user PC during website visit. Cookie can be used to maintain session or to recognize a user during the next visit.

P3P - The P3P specification standardizes the way Web sites summarize and represent policy information regarding their privacy practices. P3P policies are composed of XML statements that describe data categories, purposes of data collection, and recipients of the data collected. P3P policies also contain other information such as whom to contact for privacy-related disputes, the lifetime of the privacy policy, how a user can access the data collected, and what remedies can be taken for policy breaches. Different P3P policies can be specified for different aspects of a Web service. For example, a Web site can have different policies for its home page and its search page.
P3P policies covering the use of cookies can be expressed in a condensed form called compact policies. Essentially, elements of the P3P policy are mapped to short tokens and aggregated to form a compact policy. (From MSDN)
Read more about P3P on W3C site: http://www.w3.org/TR/P3P/

Web beacon is a small picture on a web page usually with some unique identifier. It is used to track user activity on a website. Usually it sets a cookie.