As soon as you go online, you obtain a univocal Internet Protocol address, abbrev. IP. Your IP address is a sort of internet tracking device and can be traced back all the way to your front door. Every web page operator can retrace exactly what you did on his web page: what products did you take a look at, but then didn't buy? What pictures did you look at? Your internet provider can also see all kinds of data, such as what movies or songs you up- or downloaded from your legal file sharing network.
It is not a question of having something to hide or not. You have a right to privacy and don't have to justify it to yourself. Take the freedom to surf the internet and up- and download files unobserved.