It’s not a cookie, it’s a registry entry. It doesn’t appear to be harmful, either.
I have asked Dean to see if he can obtain a bit more information – but from what I have seen so far (which isn’t much) I’m betting it’s not Microgaming or the MGS software which is causing this.
Dom – precisely which spyware removers have defined whatever it is as malware? And do you have links or more info on this?