First recommendation: As others have already said, dump Internet Exploder. It's one big security hole. Opera and Mozilla/Firefox are much more secure, and also
standards compliant browsers. This means they handle HTML in the way it was designed instead of in the 'special' way that MS has invented for itself. The more people use browsers that follow the standards, the less control MS will have over the web. So even if a few websites don't work for you in these other browsers, you should email them and complain that they need to use standard HTML rather than switch back to Internet Exploder.
Also, since MS is planning to add a popup blocker to IE soon, you can expect the ad-pushers to start exploiting all the
other security holes in IE, like active-x. It will soon be a nightmare to try to surf with IE. (On the plus side, this will drive many more people to use Opera or Mozilla/Firefox!
)
Second Recommendation: Also already said, get one of those nifty HOSTS files that turns addresses for major ad-servers into loop-backs and blocks them.
Third recommendation: Get
Proxomitron! It's a 'proxy' that filters the HTML stream coming into your browser, or going out, and let's you control your Online experience.
www.proxomitron.info is the site. The default config is pretty good, but it has a fairly comprehensive matching language and you can write very extensive custom filters -- or just get a set written by a third party. Not only can you block ads or snooping HTML and javascript, you can modify sites to look the way you want. I've got filters for Google, eBay, Yahoo! and various other sites that block annoying features or add useful functionality to the site (for instance, I can go directly to the image on Google Images rather than having to go through the stupid frame). I can't stand browsing
without Proxomitron anymore.