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Basically some people have the Alexa Browser Toolbar installed, this sends information back to alexa, who use the information to give your site a ranking in overall popularity, along with discovering you exist in the first place, and several other things.
Alexa then take screenshots and do other such sillyness.
Some people do take their ranking's seriously (at least one major PPC search engine only allows affiliates to access raw data feeds if they're within the top X ranked sites at alexa)
Alexa is owned by amazon.
Of course I might be wrong :)
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