Anti-spyware programs often report Web advertisers’ HTTP cookies as spyware. Web sites (including advertisers) set cookies — small pieces of data rather than software—to track Web-browsing activity: for instance to maintain a “shopping cart” for an online store or to maintain consistent user settings on a search engine.
Only the Web site that sets a cookie can access it. In the case of cookies associated with advertisements, the user generally does not intend to visit the Web site which sets the cookies, but gets redirected to a cookie-setting third-party site referenced by a banner ad image. Some Web browsers and privacy tools offer to reject cookies from sites other than the one that the user requested.