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Here’s a simplified example of Tracking Protection at work, with a page that includes an advertisement and a tracking pixel from two third-party sites.
Because xyz-ads.com is on the Block list, no request is sent to its server and the space where the ad should go remains blank. But abc-analytics is on an Allow list, so that request goes through.
For more details on how Tracking Protection works, see IE9 and Tracking Protection: Microsoft disrupts the online ad business.