What are tracking cookie files?

Tracking cookies are not viruses or malicious code. Cookies are only text files and therefore are not dangerous to your computer. 

The main purpose of cookies is to identify users and prepare customized web pages for them. When you access a website using cookies, you may be asked to fill in a form providing information such as your name or interests. This information is sent to your web browser as a cookie file. The next time you visit the same website, your browser will send the cookie to the web server. The server can use this information to present you with custom web pages. 

If you don’t want to use cookies you can check the settings of Internet Explorer to accept/deny the cookie file. More information can be found at:
http://www.microsoft.com/info/cookies.mspx
under "If You Want to Control Which Cookies You Accept." 

If you are using Mozilla Firefox, you can find more information at:
http://mozilla.gunnars.net/firefox_help_firefox_cookie_tutorial.html

More information about cookie files can be found at:
http://en.wikipedia.org/wiki/HTTP_cookie

You can also set AVG Free not to detect cookies on your computer:

Resident Shield settings

1. Open the AVG Free program.
2. Double-click the Resident Shield component.
3. Clear the Scan for Tracking Cookies check box.
4. Click Save changes.

AVG test settings

1. Open the AVG Free program.
2. Open Computer Scanner.
3. Under Scan whole computer, click Change scan settings.
4. In the new window, clear the Scan for Tracking Cookies check box.

Scheduled test settings

1. Open the AVG Free program.
2. On the Tools menu, click Advanced settings.
3. Expand Schedules, and then click Scheduled scan.
4. Click the How to scan tab.
5. Clear the Scan for Tracking Cookies check box.