Tracking Cookies are used by Legitmate web sites to track how many times you access their sites. Web sites that use this type of cookie usually require a log in to access the site.
Best to verify if this is being caused by the user is to perform a full scan, remove the threat and then reboot the machine. Once the machine is rebooted, then perform another full scan. If the full scan does not find the Tracking Cookie at that time, this means it is being placed there during the day while the user is working on the computer.
Run the Full scan in Safe Mode with System Restore turned Off
Tracking Cookies - Check this:
http://www.symantec.com/security_response/writeup.jsp?docid=2006-080217-3524-99
BLOG with Video:
https://www-secure.symantec.com/connect/blogs/tracking-cookies
Now your issue:
Tracking cookies are, for the most part, completely harmless. As a result they will no be deleted or detected by auto-protect, however during a full scan the cookies are usually found and then deleted.
In general this doesn't do any harm to the computer or user. Cookies are usually used by websites to track information about you. Usually the biggest reason people don't want cookies deleted is because that is how websites store their automatic log-in and password information when you click on "remember this password...". If you would like to hear more information on the subject or if you still have more questions please create a new thread.
Again, if you are annoyed with the notification being displayed, then disable the notification.