Yes, it's true. You may have inadvertently invited a spy into your computer. This spy is known as "spyware, adware, or trojans", and once it is in your computer it starts taking statistical information as you travel the Internet. In some cases, it may send you pop-up ads and slow down your computer. A wired.com article, mentions it "could even collect your credit card information".
How did you invite the spy?
Maybe you visited a website you knew and enjoyed only to find that it was recently purchased by a pornography site. The new company has imbedded "spyware" into the home page and now, in many cases without your knowledge, it is on your computer.
Maybe you downloaded a free or paid program and as part of the package you were provided with an added secret bonus