I put 'view.atdmt.com' into Google and eventually it showed that it was a site where you can rent DVDs. With Mozilla do you have the same option that you get in IE6 NOT to accept Third Party cookies? Possibly there is a little bug attached to your disk that is trying to 'phone home? If you have loaded any new software lately it could have come from that, sort of a spy-file, do you use SpyBot to check your disk every so often?
Just thoughts!
Later! Just noticed a 3rd party cookie had been blocked and decided to have a look, low and behold! it was from atdmt.com and IE did a search and came up with a load of information, basically ATDMT collect as much information about your habits(!

) as they can, so probably a prelude to Spam etc.
Looks as though your own security system is telling you it has blocked the cookie from sending any information OUT.
In Mozilla, if you go Tools>Cookie Manager>Block cookies from this site, having gone to
atdmt.com first you can probably stop the nuisance message once you have cleaned their cookies from your HDD! (amazing what one can find out on a wet Saturday afternoon in Australia !

).