Amazing
Horrid little b*ggers they are too! The ones your talking about are little javascipt applications made to look like whatever the vendor wants it to. A common one is where the pop-up window reveals that you have a virus and your system is now infected - and it looks just like a normal Windows warning box.
The only surefire way I've discovered to get rid of them quickly and harmlessly (avoiding clicking on the d@mn thing...) is:
(NB this is for Win2000, but should work across the major PC/Win versions)
1. Press CTRL+ALT+Delete all at the same time
2. Up will pop a Windows Security dialogue with several buttons to click
3. One of the Buttons is 'Task Manager'. Click on it.
4. You will then see a small window which lists all the applications that are running
5. One of them will be your errant pop-up
6. Highlight the offending article and click on 'End Task' at the bottom of the window
7. Close the Task Manager
8. Rejoice at your uncluttered screen, free of persistant advert
Hope this helps - it works for me anyway.
Cello