Well TargetNet evidently is a tracking cookie, not a spyware software program as such. And tracking cookies can have legitimate uses for websites. So they're not all evil, although many people don't like them. It depends on how and for what purpose it is used and by whom.
If it's used on this site by this site I'm sure WC has no interest in your activities elsewhere or in following anyone around the net as doubleclick was known to do if I recall correctly.
I haven't used Spybot in a while, but my understanding is that it was an after the fact finder of spyware apps, tracking cookies, IE histories, etc. Not a preventative program like the free SpywareGuard and SpywareBlaster, for example. If it has that, it's a new feature that hasn't gotten much play where I hang usually out (PC security forums.) Perhaps this is the feature you are referring to, discussed in the Spybot support forum: http://www.net-integration.net/cgi-bin/forum/ikonboard.cgi?s=414e4761eaec04e827c6381d1b26eb2c;act=ST;f=28;t=5501
The way one can "innoculate" oneself from cookies (as noted in the thread linked to above) is via the cookie controls in your browser and/or a third party app like CookieWall, Proxomitron, WebWasher (all freeware) and other cookie manager apps that allow you to block all or selectively block and accept cookies from various sites.
I'm not saying you didn't get it here, that may have been the case. I have to check and see if I have anything. I use Proxo to make all cookies session only. As I said, I know WC used to use a Hitbox cookie for site use tracking. Dunno if the cookie you found might be associated with some ad banner and so have an offsite source. Those banners can sometimes do things other than sit there innocuously.