Usually in the form of banners. The evil ones immitate system buttons and alert boxes. Faulty advertising usually just makes people angry and they don't want to return to the site. But, the advertisers see that the ads are getting clicks, even though the clicks are mistaken for warnings or search boxes.

What is a cookie?

A cookie is just information that is stored on your computer by a server when you visit a site. For example, you are filling out a form with your name and email and you see the option to "Remember me in the future". If you say yes, your machine will store your name and email and the next time you come to the site, the server asks for the cookie and will remember your information. Sounds creepy, but cookies can only be read by the sites that wrote them, so if you are o.k. with giving your information to them once, then maybe it's not so disturbing for them to have it when you come again. Be warned. Some advertising services, such as DoubleClick set cookies for every ad you have clicked on, then they can see where you have been and they build profiles of you.
Creepy.

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