I'm not sure if this is a solution.
AV detect the tracking cookie. It will always delete that. Tracking cookies store information for websites visited by a user.
And the way it works is somewhat similar to the way spyware works. Try disabling cookies in your web browser and create exemptions for web sites you want to have cookies stored.

 Well the issue in disabling cookies will mean some webpages wont load correctly. I guess we have been living with this ever since Symantec Client Security came out continuing to SEP. We just allow it to get deleted.

Else create exemptions for all cookies stored.

Well, the strange thing is that after scan is completed if I againg run the full scan it is showing the same result. If the tracking cookie would have been deleted then why it is coming again?

Check the setting for the cookies in Antivirus and Antispyware policies. Change the Action to Delete and Quarentine

You could check the history of the web browser - check the web sites visited.
I'm using both IE and Firefox and only visit sites I need to visit. I rarely use it for surfing and only received the alert for tracking cookie only once. I guess it's for Google or some other site.

Dear Mr. Ajitjha, I changed everything to Clean and Delete and that's why SEP is deleting that cookie once unable to clean.

Hi mon_roralio, I am using Internet Explorer and I visit only limited valid sites, so there is no chance to browse unethical sites. I searched the history and it is showing only valid sites.

Well, some of the sites you're visiting tracks your movement, either storing login information, pages visited within the site and of searches made. It's not threatening to the security of your PC/network. And it's not wether the sites are valid or invalid. They could also be a victim of malicious code although that's a rarity for me nowadays although I got a misleading pop-up ad on one of the popular social sites at home.

Just to be sure, you may also want to cross-check the sites with Safeweb. It's a Norton/Symantec site for rating the sites based on threats present.

Thanks mon_raralio for your clarification. Is there no way to stop this kind of thing without putting the Cookie in the exception?

Sorry binayak, but that is one of the drawback with AVs in handling tracking cookies.
The only way is to add the folder in the list of exemptions but it would allow malicious sites to download their cookies and do tracking of their own. If you want, you can add the sites in your trusted sites list but that won't be much of help. I haven't received the alert in a while. I'll post here when that happens. :D

I have the same problem on both of my computers when using nLite.

Windows XP x64 Bit
Service Pack 2
Hotfixes
Dell Drivers
Slipstreamed with nLite
Installed Endpoint Protection
Tracking Cookie - didn't even open a webpage

Windows XP 32 bit
Service Pack 3
Hotfixes
Sony Drivers
Slipstreamed with nLite
Installed Endpoint Protection
Tracking Cookie - didn't even open a webpage

Tracking cookies also are being stored by search engines to your PC. Whenever you change settings (default language) or search history. This mostly happens when your search field auto-completes.

In computing, a cookie (also browser cookie, computer cookie, tracking cookie, web cookie, internet cookie, and HTTP cookie) is a small string of text stored on a user's computer by a web browser. A cookie consists of one or more name-value pairs containing bits of information such as user preferences, shopping cart contents, the identifier for a server-based session, or other data used by websites.

Cookies are subject to a number of misconceptions, mostly based on the erroneous notion that they are computer programs that run on a user's computer. In fact, cookies are simple pieces of text data that affect the operation of a web server, not the client, and do so in very specific ways. In particular, they are neither spyware nor viruses, although cookies from certain sites are described as spyware by many anti-spyware products because they can allow users to be tracked when they visit various sites.

I also noticed each time I would scan my c: drive, the same message regarding Trackware would appear.  I could scan several times in succession and it would always state that it was deleted, and yet it would remain.

Since I use IE 8.0, I tried to use Internet options to delete the cookies.  I even tried to open the temporary Internet cache folder and delete them manually.  What I found was there were several that I could not delete.  Next I tried to move the cache location to another drive.  the 13 cookie files moved with the location.  I then tried again to delete them.  I could not.

OK, the story is getting too long.  There is a setting in IE 8.0 called, "Preserve Favorites Website Data" found under the browsing history options.  Uncheck it.  Then delete the cookies.  All cookies will be deleted.  Then run the Scan again.  Behold, the scan is clean and no more message regarding the trackware.

The reason the scan could not delete them is because it was directly trying to violate what the OS (IE in this case) was telling it preserve.