Why does Spybot-S&D not detect and remove the Alexa key for the What's related function of IE like other anti spyware utilities?FAQ #008
This key is often simply called Alexa, but that is wrong for two reasons:
1. simply calling it Alexa would mix it up with the Alexa Toolbar, and
2. it is not a key created by Alexa. It is a Microsoft Internet Explorer key that points to a Microsoft DLL and a local Microsoft HTML file. The later redirects to a online MS page, and only that page redirects to the Alexa search engine.

In my opinion a better way than to delete the key would be to make another or even multiple search engines available. You can read about the basics for that in this discussion (online link) at the support forum.