Im going to reccomend a program that has solved all my problems with popups, banner ads, and these dialog boxes that pop up on command. The program is called The Proxomitron, its free, and you can find the latest version at
http://www.spamblocked.com/proxomitron/This little program, while having the ugliest interface texture wise, has done me wonders over the years. I highly reccomend it to anybody, period. The downside is tht without advanced knowledge of what you are blocking, you will block out things that you need, like animated .gif's are frozen (no more moving smilies), some of pages have images that are preceved as ads by the Proxomitron but are not. and there are a small number of other minor things that could cause you to say "Alright, so that page dosen't work, i'll just move on..."
I cannot speak high enough about this little life-saver. Please, if you havent already, download it. Just give it a try(make sure you look at the 'setup your browser' section) and pass it on to your friends.
EDIT: In responce to Raa's problem, there is a version of Kazza floating arround out there called the 'KaZaA Lite K++ Edition'. This version of Lite lets you do many things that a normal version of Lite would not. It completely replaces KaZaA as the best file sharing app on the web. You can find it here:
http://cache.techtv.com/binaries/2003/klitekpp.zipalso cannot reccomend this enough for people to get, there simply, is no better.
EDIT2: To answer redsniper's question: Download Spybot Search & Destroy, and do a search on your system for spyware and adware. You will be surprised just how much you have. Get Spybot here
http://spybot.eon.net.au/index.php?lang=en&page=downloadDont worry, its free too.