Tracking cookies

Some company like payday loan or many of them, have secure their transaction and collect a lot of information from their customer online computer, using online tracking cookies. This tracking cookies work like identity theft, the problem is they not just collect data or lock your computer I.P. address, they also make a lot double effect at my p.c. that's make me also difficult to control my mouse or operate my p.c. normally.
The funny is where is the anti virus or anti spy ware we already install at our p.c. what they do? ha...ha...ha...