In the "modern" browsers there's a setting deep down that tells advertisers that you don't want to be tracked for advertising purposes.
Internet Explorer sets that on by default.
It is also in Chrome and Firefox.
For Firefox you can set it yourself by:
Click on Tools
Click on Options
Click on Privacy
Under Tracking, there is a tick box that promises to tell advertisers that you do not want to be tracked.
Mine is checked, but I don't believe it actually works.
You see you're telling someone that you don't want to be a source of their income. That's how advertising works, they have learned that they can watch what you surf and build a profile of what you're doing. They can tell pretty much everything you can do.
You can lower their effectiveness but you can't eliminate what they're doing unless you do something that is fairly "heroic" by installing all sorts of software or learning another operating system and surfing from that. There is InPrivate mode in Internet Explorer but it also breaks sites sometimes. Better solution than most, but nothing is perfect.
When I set up a computer for myself or anyone else, I immediately install a few pieces of software.
Firefox as a browser.
Then I install an extension that is also available for Chrome called "Adblock Plus". That breaks some more of the advertising as well as some of their tracking. The benefit is that I do not see advertising. I can also block that sort of thing.
For me, browsing a website on someone else's computer is a jarring experience. Ads blink, flash, and sometimes even scream at me. On my own computer, it's a blissful experience.
That and it also speeds up browsing.
I've taken it a step further by adding a hosts file onto computers that I am not doing web development on which simply tells the computer not to search any web pages that are at a certain address.
I went so far as to add a hosts file to my Android phone and it's quite nice not having to look at ads. It's a great "advertisement" for "Rooting" your Android phone.
The software I use on Android is Adfree to help block advertising by placing that hosts file in the right spot. Just because I want to be "complete" I also installed a Hosts Editor but strictly speaking I don't really need that.
Both of the above only work on Rooted Android phones. If you're not rooted, you'll need to find a guide on how to do it for your specific phone, model, carrier. It gets complex but usually there's a step by step guide to do the work for you. Once I found mine, it took about 10 minutes.
They can't track you if they can't find you.