An IE tracking cookie can only be used to track activity on browsers that embed the Internet Explorer engine; I wonder, if you use one of the "IE Tab" extensions (so some Web apps, like Windows Update for versions of Windows before Vista, will still work in Firefox), have you ever browsed the ordinary web in IE mode?
Another possibility is that you have used another application that in some way uses IE components to deliver Web content; as an example, Soulseek uses IE internally for its "Web" module.