Additional Details
Alexa is vendor of a web crawler and a search toolbar named Alexa Toolbar.
Alexa Show Related Links feature in Internet ExplorerThe most common detection of Alexa is a component that is installed with Internet Explorer. This component handles the "Show Related Links" functionality inside Internet Explorer. By using this function the URL of the webpage you are viewing is sent to Alexa.

When removing these components, the menu option will disappear.
Note: This feature was removed with Microsoft Windows XP SP2.
Alexa ToolbarThe Alexa Toolbar attaches to Internet Explorer as displayed in the picture below.

When the Alexa Toolbar is installed, it monitors the websites that are visited. This information is sent back to Alexa. Usage of other features of the Alexa Toolbar is also collected and sent back to Alexa.
Read more in their privacy policy -
pages.alexa.com/help/privacy.html.