Thanks! So it's a tracking cookie. I'm glad it's blocked - I don't like being tracked.
No connection is being made to 2o7.net from my PC because the hosts file blocks it - that's what's causing the error messages. There are no 2o7 cookies in my Firefox.
It's Thunderbird that's getting these - or rather, not.
I watched this afternoon when I opened a Paypal e-mail: the "doing something" spinning daisy whirled for a good 20 seconds before giving up and spitting out the error message about 2o7.
More browsing revealed that there's a toggle in the Paypal Profile settings for all e-mails to come in plain text rather than HTML. I've made that change which, I think, will remove the 2o7 link altogether from Paypal e-mails.
GG's links are scary. It hadn't dawned on me that they'd create a link like 192.168.112.2o7.net - made to look like an IP address on a network. That is sneaky! Obviously up to no good.