Tracking cookies are common.
Norton goes through and sweeps my system for them now and then.
Most of them are benign, and some cookies are useful, like the one that remembers my sign-ons for certain sites.
I can walk you through security settings that can be tightened up on IE if you want. McAfee is a pretty good antivirus program, and I'm surprised it couldn't just fix your system without needing the tech.