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Turn off cookies, turn off referrer, turn off redirection, turn off javascript. That does show up which website designers are utterly incompetent, and therefore makes about 98% of websites completely unusable, but it's my default setting on Opera. You can then turn each of those things back on per site if you're happy to have them spy on you in return for providing their services.
It's only just started happening, and I didn't think I'd changed anything... What might I do to improve my privacy settings?