Sure. What's being discussed in this article is Real Time Bidding: http://en.wikipedia.org/wiki/Real-time_bidding . You can read up about the specifics of different Real Time Bidding exchanges, for example here's Google's AdExchange protocol: https://developers.google.com/ad-exchange/rtb/
> How are different websites able to know what content you are interested- who is storing this data on people?
The websites that host the actual content don't usually care about what ads are being shown to you. They just put code in from an ad exchange and let them handle the rest. The buyers (the ones who run the bidders) are the ones that are interested in figuring out what to show you. For example, many bidders are interested in doing what's called Behavioural Retargeting ( http://en.wikipedia.org/wiki/Behavioral_retargeting ). Say you visit a shoes website. Then later you go on Facebook. The moment you go on Facebook, their ad exchange FBX will send a bid request to all the bidders. If the shoes website has partnered with that ad exchange, when they receive the bid request, they can identify you by your cookie, and they can bid and try to show you an ad to get you to come back to their site. Typically a shoes website wouldn't have the infrastructure to do real time bidding so they get a third party to do the bidding on their behalf, e.g. AdRoll ( https://www.adroll.com/retargeting ).