CF
in Internet Explorer 6 (Can't remember about previous versions) select - tools/options / security/custom and check pop up blocker
Also
Hopefully you are using a personal firewall and/or some anti-virus software.
Try looking in there under anti-spam settings most have a setting to stop (or rather reduce) adverts and to stop pop-ups.
Beware, some web sites will not work without pop-ups when you will have to turn pop-ups back on or make exceptions (depends on the package).