Just for everyones info, i found out some info regarding the 'personalised' advertisments that you get and how to disable it.
The info is more with regards to Adobe Flash, but im sure this is the same as other applications.
If your on Windows, go to Control Panal - Flash Player
Then click on the Storage tab. (it might look different if ur using Windows 7 or something like that . im on an XP computer at the moment).
Just have a read of that tab before going any further. It says "Local storage may be used by websites to save data about this computer's use of Flash Player, such as viewing history, game progress, saved work, preferences, or data that identifies this computer."
Scary!
Ok go and hit the Local Storage Settings by Site button.
This will list the sites that you have previously visited which have stored something on ur PC.
Im not going tell u to delete stuff, because that would be bad practice on my behalf but go and do some research on the topic, find out what the impacts are if you disable/delete and make ur own choice. Also google Flash cookies, some interesting articles on that.
Im guessing that this is an example of how locally stored information can be used to customize advertisments.