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IMO it's just some BS ad to sell their product, the only thing they are refering to is IE's index.dat file which is responsible for the typed url history, auto complete, etc.
All they are doing is trying to sell their product, your OS, browser, etc. is all recorded when you visit a website, for example, a typical line of this server's apache log files will show you OS, windows nt 5.1 which is XP, and the browser in the http header, ie6 in most cases, so, you have nothing to worry about
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