Hi, an appropriate first posting for my blog.
I found a great website full of step-by-step tips for blocking all sorts of nasty stuff that want to visit your computer.

With configuration of the HOSTS file it is possible to intercept any IP calls that are made to advertising and tracking companies before they ever leave your computer. The HOSTS file is located -on WindowsXP- under c:\windows\system32\drivers\etc\hosts. You may have to remove the read-only flag in order to edit. You can tell it has worked because the next time you log into your on-line mail (e.g. yahoo, google, etc) you may just see a small cross on the left of the box where the advert should be, but no advert!

Check out the following url: http://www.mvps.org/winhelp2002/nopopups.htm. It gives instructions on how to configure the HOSTS file and where to find it. It also provides step-by-step instructions (with graphics :-)) on configuring IE, and other privacy tips.

Let me know if it works!!