Zone Alarm Pro is a half-way decent personal 
firewall that has a built in pop-up and ad 
blocker.  I run it 24-7 on all my PCs.

http://www.zonelabs.com/store/content/company/zap
_za_grid.jsp

The free version has limited function, but you 
can get a serial number on Kazza or some other 
gneutella network prog.

Ad-aware is also good for getting rid of ad 
tracking cookies and other annoying stuff like 
Gator, Weatherbug, and other common crap that 
eats up resources.  You can grab that here for 
free:
http://www.lavasoft.de/support/download/