Alexa's Toolbar Service improves your ability to use the Web. One of its most important features is Related Links, which tells you about websites that are "related" to the ones you are viewing while surfing the Web and which you may find interesting. It does this, in part, by logging and analyzing the Web surfing patterns of Alexa users, which we call usage paths. These usage paths are also used to create research and commercial reports that analyze aggregate Web usage patterns.
(Quote: WebMasterWorld) They probably are just categorizing sites so that they know which ads to show visitors to your site... or which sites to pop-under an advertisers ad... whenever a visitor with their "enhancements" surfs to your site.