Some cofiguration settings are not configurable through the user interface. To make such changes, type:

about:config

in the address bar.

Images from a non-secure site, when displayed on a secure site, do not show

This one is annoying, but makes the browser safer. To change it so that non-secure images show go to the setting:

dom.disable_image_src_set false

Cannot set cookie handling to allow first party cookies only

This user interface setting doesn't allow this option. It's an all or nothing behavior (allow cookies or not). Really, third-party cookies should be disallowed, and first party cookies should be allowed for safe, but verstatile browsing. To set it to allow first party cookies only, set:

network.cookie.cookieBehavior 1

This is also described here: http://kb.mozillazine.org/Network.cookie.cookieBehavior