2. This customer ordered your product and came to "Thank you for your ordering" page, which uses Google's Conversion Tracking.
3. G's Conversion Tracking uses its JavaScript to display an image: <a href="http://www.googleadservice.com....."><img src="http://www.googleadservice.com/some-script-to-read-cookie"></a>
In theory, this script can read the cookie set by google itself. However, the default IE privacy does not allow that at all (IE Options->Privacy). It does not allow a script of googleadservice.com to read a cookie set by googleadservice.com itself, when that script is loading by another domain's page (the "Thank you for your ordering page"). Isn't it?
You can find out more about P3P at: [w3.org...]