It includes a program called httpd. The 'problem' lies within the HTTP protocol. It has some features that allow all that data to be collected. When you connect, you send your computer's name, and the IP address. A newer source of trouble, are the 'Cookies'.
Cookies are client side persistent information.
When you enter the site again, it will read your cookie, and thus now that you've been there already. It is used for nice tricks such as a personalized web page, and so on, but it can a serious privacy breach. If you're connected to the internet through a Proxy, you have still another problem. The proxy server logs every access to the outside web, by every member of the organization. Your IP address, and your host computer are written down as well.