No, if the ad shown was imbedded in a webpage in a frame (like is common via most free sites) or has a popup window, the window will have nothing in it, and since it's a 404, it can't spawn windows of it's own.
I once ran across a website that spawned 2 pop-ups, (A & B) but those pop-ups were linked to spawn each other! (So A would pop-up B, and after it loads, B would pop up another A...)
And each of them were set to link your homepage to be the original site.
It was a pain to deal with since they were simple .html's about 1k in size.
I watched it crash windows (not the hardest thing to do mind you.) then I had to restart, open IE's properties, change my homepage manually...
Another good thing is if you want to keep family from going to certain websites.
