Cookies, Billy, and not the chocolate chip kind.
I'll bet your browser allows cookies (most do, they are nearly impossible not to have enabled), and those cookies can watch everything you do. That's largely what they are all about.
I'd start with cookies...
When I get asked to install cookies, if it is compulsory (the web page won't load otherwise), I always select 'strictly necessary cookies only', never anything else.
More detail on cookies here. It states this about Tracking Cookies:
"Tracking cookies, and especially third-party tracking cookies, are commonly used as ways to compile long-term records of individuals' browsing histories."
There is more info on the Wikipedia website on Tracking Cookies (see link above).
Hope this helps,
Trev