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OpenAI's ad collector at bzr.openai.com sets a cookie called obi, scoped to .openai.com. The value is while you are on ChatGPT and tied to your ChatGPT account. obi is then sent to OpenAI from ordinary websites you visit.
Any company that buys ads on ChatGPT installs a small piece of OpenAI code on its own site, the same way retailers already install Meta and Google tracking code. Loading that code, sends __obi to OpenAI along with data about the page you are browsing. This includes products you are searching for, articles you are reading, and purchase behaviors.
The bottom line is that OpenAI can connect what you do on those sites to your ChatGPT account.