You can go to www.atlasdmt.com/privacy/opting.asp
for an explanation of how the company (Atlas DMT) will allow you to "opt out" of their cookie being placed on your computer by letting them put a "blank" cookie that basically says keep out to any web ads using their service.
But that won't stop the warnings from Spybot, & the Avenue A service is on tons of sites that are ad-driven.
I'd recommend that you just set Spybot to "block all pages silently," tell Spybot to ignore all "Avenue A" cookies, or like previously mentioned just use your browser settings to block cookies.
In comparison to "real" spyware, cookies are mostly harmless.