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 latter redirects to an 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.