That Anti-Pest software is probably talking about the Alexa tool bar.
The tool bar lets you quicly acces the Alexa populatity rankings for sites and other Alexa services, it also lets them track which sites you visit so that they can compile the site rankings, which is why it is considered spy ware by some. Personally as they tell you what it does up front and don't attempt to force you to download it i'd not consider it as Malware.
Memetic.