"Spy" is a strong word. What happens is that a lot of firms and sites track your usage and surfing habits. That includes Google (big tracker firm), Microsoft (can track and monitor your usage) and many browsers can report your usage back to "home base".
The Internet is driven by advertising, and almost all web sites track your connections, where you have been before, how long since you last connected, etc., all via your cookies and scripts those web sites run. It is all for "profit" or making money.
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