Note that many websites have their own advertising, unrelated to adware.
Comet Cursor changes the mouse pointer when hovering over partner sites. It is infamous for being one of the first programs to install sneakily with another, and for tracking viewing of partner pages.
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Newer versions of Comet Cursor have grown very big indeed, with all sorts of features unrelated to mouse pointers. They seem to have "cleaned up their act" for the most part.
Comet tracks visits to web sites that use its cursors, with an ID unique to each installation. However since the sites must deliberately include the Comet code in each page, this isn't much different to third-party advertising banners with cookies.
Should be removable through 'Add/Remove Programs' in the Control Panel.