I used to use a program called Pop Up Killer which worked beautifully. It would download a list of known pop ups and block those, and if other got through, you could add those to the black list very easily. Unfortuntatley, the program is no longer supported and i can't find anywhere to download it anymore.
Tony recommended a program called AdShield that becomes a part of IE. So far, its worked great for me, i get virtually no pop ups. One problem i am noticing however, is that sometimes, IE will just randomly freeze. Most of the time it'll lock up when i click on a link to go somewhere else. I can open up other IE windows and use them just fine, but the ones thats frozen will just show a blank white screen. weird. i don't know if this has anything to do with AdShield, but it seems like it might. i dunno.
try AdShield -
www.adshield.org