The cookie used to prevent my visits from being to be taken into account is installed. However, my visits are still counted.

Be careful with the domain name you use to access the Administration panel of phpMyVisites. This domain name has an impact on the cookie content and on how the cookie will operate.
Suppose: on the audited page, the link to the image that allows to make stats points to "www.site.com". Then the cookie must be installed from www.site.com. NOT from “site.com”.
For the Web browser, these are two different domains and a cookie is available only for a definite domain.