This information is contained in the header of every request you make to a web server.
Generally speaking, every time you browse to a page this information is sent to the server in plain text (unless the server uses https)
This information (and more) will be stored on each web server you visit in a form like this log sample (from our own server)
When combined with cookies, every visit you make, even many days or months later, can be grouped together to gather a profile on your browsing activities...