My advice (choose one):

Download the Google Toolbar for IE, or another similar program that includes pop-up blocking (and it's FREE).

Get your hands on the Longhorn Beta (which also includes pop-up blocking) - but unless you're a M$ developer, it's not exactly legal.....

Switch. Mozilla, Netscape, Firebird are all freebies, all with different features (Firebird is browser only, Mozilla is Browser/Mail+News/IRC Client, Netscape is Browser/Mail+News/AIM Client), and all include pop-up blocking.