The origin of the terminology is unclear. In 1952 Alfred Sauvy, a French demographer, wrote an article in the French magazine L'Observateur which ended by comparing the Third World with the Third Estate: "ce Tiers Monde ignoré, exploité, méprisé comme le Tiers État" (this ignored Third World, exploited, scorned like the Third Estate). Other sources claim that Charles de Gaulle coined the term Third World, maybe de Gaulle only has quoted Sauvy. However...
...
The term "First World" refers to so called developed, capitalist, industrial countries, roughly, a bloc of countries aligned with the United States after World War II, with more or less common political and economic interests: North America, Western Europe, Japan and Australia.
...
"Second World" refers to the former communist-socialist, industrial states, (formerly the Eastern bloc, the territory and sphere of influence of the Union of Soviet Socialists Republic) today: Russia, Eastern Europe (e.g., Poland) and some of the Turk States (e.g., Kazakhstan) as well as China.
...
"Third World" are all the other countries, today often used to roughly describe the developing countries of Africa, Asia and Latin America.
The term Third World includes as well capitalist (e.g., Venezuela) and communist (e.g., North Korea) countries, as very rich (e.g., Saudi Arabia) and very poor (e.g., Mali) countries.
http://www.nationsonline.org/oneworld/third_world_countries.htm