Almost every Web site wants to sell you a product or service.. or give you suggestions on services, per your browsing habits. This is done via "tracking" cookies, tiny files that are constantly sent to your system. Some are more benign than others, for the site's own use. But too many others are sent by third-party outfits that profit from selling your browsing habits.. and may be browsers themselves... checking your keystrokes and mailing lists!!
The "do not track" feature of the newer AVG program lacks true 'watchdog' properties as the previous versions, where you had the tic box for "no third-party cookies".
Whatever brand of AV/firewall program you have, be it free or paid.. there should be a tic box for "no third-party cookies"! Tell those 'cookie dumpers' that you don't want to be tracked, and they may still do so.. at their profit, your loss.
F@H.. to solve mankind's maladies.. in our lifetimes!