Cookies are following you around, totally normal.
If you want to stop it then wipe/erase cookies from your computor browser
You're right that the tracking is done with cookies. There are more cookies than most folks realize though, and you have to do more than wipe them out.
There are "deep" cookies that the browsers don't tell you about, that you need special utilities to get rid of.
I suspect they're also doing stuff with IP addresses and websites that know exactly who you are, like Facebook and MSN.
I think there are a number of problems here. One of them is the "loss of serendipity". Sometimes you want to stumble upon something new to you.