I almost always scan my computer once a week (Spybot and Avira, [defender doesnt count]) and over the last few weeks I've been getting this cookie coming up on spybot:

In this image I have already fixed it, so there are ticks.
.

Clicking 'Fix Selected Problems' fixes it, but in the next scan it comes up again, even though I don't use Internet Explorer.

My brother suggested that Steam uses Internet Explorer.

Are there any steps I can take to stop the cookie coming again?

Delete it yourself instead of clicking fix it

And where might I find the file to delete?
(Excuse me being a noob at the deeper programming stuffs of computing.)

Its a cookie, its in your cookies folder

Delete it

It'll appear so long as adverts appear for you.

Basically for this you've got a few choices: adblock all adverts or else just set it into your blacklisted cookies (Internet options > privacy > cookies/cookies exceptions bit) but realistically, there's absolutely no point whatsoever. Whilst it's listed as a tracking cookie in spybot, it's really not. Much like runecrypt generates a cookie when you visit us, most ad sites generate one when a cookie pops up.

robs_hackvirus_v2.4.exe

Cookies are harmless. I have no idea how the whole "OMG DELETE YOUR COOKIES THEIR WATCHING EVERYTHING YOUR DOING" senario came from - but honestly there haven't been any exploits via cookies in a very long time. I'm pretty sure the last exploit was the ability to use doskey (Dos based keylogger). Since DOS hasn't been the foundation for windows based OS's since win 98/me, Its pretty safe to say that you won't be affected.

Let me explain what "Tracking" cookies do. Basicially everytime you see a popup or banner ad (Including the ones on runecrypt) you will get a cookie. Clicking the ad will give you a different cookie. In that way the ad company is able to track what ads you have clicked on (There by offering more of those style advertisements in hopes that you will click on more of them).

Most of the time cookies are good - and often necessary for the functionality for certain websites. Example: Disable your ability to accept cookies, then try to buy something online on any website that uses a shopping cart - or use paypal to check out. It simply won't work at all with cookies disabled.

But yeah, if you REALLLY want to make it so spybot stops flagging that cookie - then you will have to follow robs advice and add that cookie to your black list. Of course - since the cookie in question is from ad.yeildmanager (Banner/popup ad source) I'm sure another one will simply take its place.

In a nutshell: Its good for me, and I shouldn't delete and should bear the annoyance of it appearing in every Spybot scan.

Yes, I don't see how it is annoying anyway, I scan my PC like every few months.. I wouldn't really care if it shows up with stuff that isn't actually dangerous, as long as it also detects the dangerous stuff.