That's a cookie and it's related to advertising, indeed. I assume Microsoft is a member of the NAI or uses ad services from Doubleclick (probably not the services from Google).
These cookies help the advertisers to target the ads on your specific browsing habits, minimizing the number of irrelevant ads.
There are some ways to opt-out of this, for example
Most of this opting-out will put a cookie on your PC telling the site you opted out. If you delete that, you're opted in again.
It's not clear if this particular cookie is helping you to stay anonymous or on the contrary is helping the advertisers to serve you better. That might depend on the content also. This is my atdmt.txt ( changed the numbers!):
The first line makes me feel that I'm anonymous. But I might be totally wrong with that.
If you think you want this cookie, add it to the exclusion list of AVG. If you think you don't want it, block it in your browser, so it won't be made anymore.
In both cases, the message won't appear. Easily solved.
After installing Windows live Mail, every time I open the program, or open internet explorer AVG anti-virus (paid version) pops up a threat window.
"atdmt.txt" is detected as a tracking cookie.
This appears to be a false positive as the process runs under genuine windows "wlmail.exe" and I checked that the program is digitally signed by MS (it's genuine)
By checking out a few sites on the internet AVG has somewhat of a bad rep. for false positives, but this is really ridiculous.
I must add that I have used AVG for about 5 years now and have been satisfied, but this problem is so persistant I certainly won't be re-newing my sub. if this isn't solved.
It seems a lot of people have the same problem. I hope AVG sort this out quickly.