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Yes we had the same thing with Alexa, and with Google toolbar IF you want extended features. They need to send your computer some 'feedback' type cookies, otherwies they cannot provide the 'relational' data about website usage.
Alexa is fascinating to watch, if you are building traffic, beacause it does give you a good idea of how well you are progressing (but always with the caveat that IF you have Alexa tools bar, and are working heavily/frequently on building your site, then you will see 'disproportionate' improvements in your own site ranking)...That said it is still a really cool way to see what progress you are making.
It also givess you a broad idea of how your competitors are doing...even if they have a much 'snazzier' site than your own..it is always heartening :twisted: to see their Alexa ranking in the many hundreds of thousands, or even millions...this means they are getting virtually no traffic.
Meanwhile, having worked with Alexa tool bar for ove a year their toolbar 'adware' does not prove to be 'malicious' in any way, as far as we have found...and the component that provides feedback (just as with Google bar) does not cause aggravating 'pop-ups' or false search reasults to appear...I don't think Amazon (who own Alexa, I guess you know) would risk it!
I love Alexa and it can do no worng (BTW did I mention our rank!)
The toolbars fine - I use it all the time and it has some nice popup blockers. No different to the Google/Yahoo! or Netcraft toolbars. If you just want the ranlings then use the SearchStatus extension for Firefox.
Footnote. Take the rank with a pinch of salt.
They say top 100k sites have 0.03% of all the clickthroughs on the web and statwise they prob. do.
We say but only as measured by those who have the tool bar installed.