Alexa's Related is integrated into IE. It is available as "Show Related Links" option in "Tools" Menu. By clicking this, it connects to Alexa's Servers (through MSN) and it fetches the Pages which are "similar" to the ones you are seeing. When you click on the "Show related links" button, information is gathered about the page you are visiting, this is obvious because it has to know what pages are you viewing, before it brings the similar pages!
But, if you dont use the option, then Alexa will not spy on you, and it's harmless.
Try updating SpyBot SnD, and check again.