Apparently Macromedia Flash Player (which you probably have installed) keeps a separate set of "cookies" from your browser. Sneaky sites can put stuff into that cookie jar, and cleaning out your browser (manually or via anti-spyware tools) won't always remove them.
Here's the article from Yahoo. Here's a link to the Macromedia page which will allow you to clean out and disable these alternate cookies.
Not a really big deal, but good to know...