This information is contained in the header of every request you make to a web server.
Generally speaking, every time you browse to a page this information is sent to the server in plain text (unless the server uses https)
This information (and more) will be stored on each web server you visit in a form like this log sample (from our own server)
When combined with cookies, every visit you make, even many days or months later, can be grouped together to gather a profile on your browsing activities...

x-cc-idccc04-02
if-modified-sinceSat, 25 Sep 2010 07:15:55 GMT
hostwww.nagafix.co.uk
user-agentCCBot/1.0 (+http://www.commoncrawl.org/bot.html)
accepttext/html,application/xhtml+xml,text/xml;q=0.9,text/plain;q=0.8,image/png,*/*;q=0.5
accept-languageen-us,en;q=0.5
accept-encodinggzip
accept-charsetISO-8859-1,utf-8;q=0.7,*;q=0.7
connectionclose
cache-controlno-cache
pragmano-cache
cookieJSESSIONID=733750BF1692ADE5212D18B0E47EC1BB

This information is used by the web server along with the networking information