When taking a Hands-on Lab from VMware Learning Platform (https://labs.hol.vmware.com/HOL) the user authentication goes through https://learningplatform.com, which the browser sees as a third-party session.
For Google Chrome:
Click the 3-dots menu on the upper right to Customize and Control Google Chrome and open Settings
Select the Privacy and security tab and click on Cookies and other site data
Verify that the options for Block third-party cookies for incognito and Block third-party cookies are not selected
For Firefox:
Click the menu on the upper right to open application menu and click on Settings
Click on the Privacy and Security tab and select Custom for Browser Privacy
Click the drop-down menu next to Cookies and select All third-party cookies
For Microsoft Edge:
Click the menu on the upper right to open Settings and more, then click on Settings
Click on the Cookies and site permissions tab and select Manage and delete cookies and site data
Verify that the option for Block third-party cookies is not enabled
