I got an answer from Comet Cursors !

A very stupid answer, but an answer nevertheless.
An e-mail telling me that unless I've touched my IE settings - which I didn't - a pop-up window asks me whether or not I want the software installed. Which I told them was the problem, because it doesn't happen anymore.

And they're also telling me they do not track their users and that there is no spyware in Comet Cursors. They're sorry I've heard those rumours.
Yeah. They're probably right. I hallucinated those 12 spyware components Ad-aware found on my system last night.

Anyways. I don't really care about them anymore, I opted-out and got no problem with their crap now.

Screw them !