Party Poker knows what websites you go to?? About pokerprophecy.c

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I was playing a SitnGo on Party and a message popped up saying that I was using a program which gave me an unfair advantage over other players. I called customer service and asked them what it was regarding and they said I had gone to pokerprophecy.com.

I had gone there to see what my stats were.

Now, what I'm wondering is, what enables party to see that I went there? I'm on pokerprophecy.com's website using their service which is on their server, so how does party see that I'm doing that?

Party obviously could have something on their software which enables them to see what sites I'm going to, but isn't that a huge violation of privacy? I'm going to read through Party's privacy statement, but if anyone has more info on this, please elaborate.