There are different types of tracking devices; most common one is called cookies. Cookies are computer files that are stored on a user's computer during a visit to a web site. When the user electronically enters the web site, the host computer automatically loads the file(s) to the user's computer.
The cookie is a tracking device, which records the electronic movements made by the user at the site, as well as identifiers such as a username and password. Commercial web sites make use of cookies to allow a user to establish an account on the first visit to the site and so to avoid having to enter account information i.e., address, credit card number, financial activity on subsequent visits. User information can also be collected unbeknown to the user and subsequently used for whatever purpose the host intends.
Cookies are files, and so can be transferred from the host computer to another computer. This can occur legally i.e., selling of a subscriber mailing list or illegally i.e., "hacking in" to a host computer and copying the file. Also, cookies can be acquired as part of a law enforcement investigation.
A program called Adware could potentially be another source of tracking device. Adware is software integrated into or bundled with a program. It is any software package which automatically plays, displays, or downloads advertising material to a computer after the software is installed on it
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