There are concerns that some Web sites and commercial organizations track users' online activity through the use of what is called 'spyware'. Usually in the form of 'cookies' - spyware allows organizations to build-up information about what you do and where you go on the Web. Software is available that checks for and removes spyware.
Spyware mainly affects Windows computers, especially the Internet Explorer browser. You should consider installing a program like Anti-Aware in order to eliminate any spyware that might be on your server. You should also avoid remotely 'surfing the Web' using a browser on your dedicated server.
Spyware can tie up server resources, envade your security precautions, invade your zone of privacy, and even be used for malicious purposes (such as stealing financial information from your server). All precautions should be implemented to combat it.
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Cookies can't do that.
Only huge companies with scripts running on thousands of servers - like advertisers, doubleclick, valueclick etc can build up a picture of your online usage using cookies.
You only normally get spyware if you visit 'dodgey' sites. They are trying to sell a product, of course they will say your dedicated is at risk. Next thing they will be saying by visiting website on your home machine and then logging into your dedicated will give your server spyware. Possible i suppose, but very unlikely.
though spyware isnt all that likely on a properly used server, the more general malware (worms/viruses and the like) can still get on a server that is not locked down well. windows 2003 is a lot better about this by default (expecially with sp1 installed) but in the end it still comes down to the admin.