Alexa tracks traffic using a cookie that is routinely removed by anti-spyware programs.
It may not be accurate, but might not be completely useless. Alexa can be used as a general metric to see how much traffic your competitors are getting relative to Alexa's flawed estimate of your own traffic.
"Democracy is two wolves and a lamb voting on what to have for lunch. Liberty is a well-armed lamb contesting the vote." -- Benjamin Franklin