Nobody likes having someone always looking over their shoulder, but you may get that feeling after you've browsed a while and then take a peek inside your Cookies folder.
Most of the Web-tracking cookies that violate your privacy are owned not by the sites you visit but by companies that advertise on them. Though Internet Explorer doesn't offer you an easy way to identify third-party cookies, Mozilla Firefox does: Open the program and click Tools, Options, Privacy, Show Cookies. Close the Options dialog box, but keep the Cookies dialog box open.
Select a cookie under 'Site' to see more information about it (including the domain that owns it, and when it expires) in the text box below. To identify which sites are placing third-party cookies, clear your cookies, and then keep the Cookies dialog box visible as you surf. The cookies placed by the current page will appear at the bottom of the list.