October 27, 1994, the first online ad was posted. "If you don't pay for the product, you are the product". Every day, for years, numerous companies have been collecting, storing, analyzing, classifying, exchanging, processing, selling and using your personally identifiable information (PII) for all kinds of purposes. That may include where are you located (geographically) what illnesses you searched online what types of products you buy online what devices you use to connect to the Internet what type of content you prefer to read.
First of all, incognito mode will not protect you from being tracked by websites or your Internet service provider (ISP), plus any files you download will be kept. In fact, all it does is not store a history of the visited websites and (usually) clears your cookies at the end of the session (that is, if you end the session...) Here are very simple & efficient steps you can take to evade tracking and protect your personal information online:
Bonus #1 (Advanced Users) - Randomly spoof your online identity, everything. IP, browser, OS, installed extensions, location; give them some bullshit to feed on. Configure it to change every few hours, it's largely sufficient to prevent them from fingerprinting you. Chameleon for Firefox or uMatrix for Chrome. Disclaimer: it will "break" a lot of sites that won't accept your new "privacy" settings.
Bonus #2 - Use Guerilla Mail when not communicating with friends or other trusted persons.