http://www.cert.org/tech_tips/before_you_plug_in.html

http://www.microsoft.com/security/protect/default.asp

http://www.microsoft.com/windowsxp/pro/using/howto/security/ie6.asp

http://www.microsoft.com/windows/ie/using/howto/security/settings.asp

http://www.microsoft.com/windows/ie/using/howto/security/setup.asp

http://www.microsoft.com/mscorp/twc/privacy/spyware.mspx

Popups

There are at least three varieties of pop-ups, and the solutions
vary accordingly.

Does the title bar of these pop-ups read "Messenger Service?"

This type of spam has become quite common over the past several months, and unintentionally serves as a valid security "alert."  It demonstrates that you haven't been taking sufficient precautions while connected to the Internet. 

Your data probably hasn't been compromised by these specific advertisements, but if you're open to this exploit, you may well be open to other threats, such as the Blaster Worm that recently swept  cross the Internet. 

Install and use a decent, properly configured firewall. 

Messenger Service of Windows

http://support.microsoft.com/default.aspx?scid=KB;en-us;168893

Messenger Service Window That Contains an Internet Advertisement Appears

http://support.microsoft.com/?id=330904

Stopping Advertisements with Messenger Service Titles

http://www.microsoft.com/windowsxp/pro/using/howto/communicate/stopspam.asp

Blocking Ads, Parasites, and Hijackers with a Hosts File

http://www.mvps.org/winhelp2002/hosts.htm

Oh, and don't forget that the Messenger Service would also provide a useful service to hackers if it is not patched:

http://www.microsoft.com/technet/treeview/default.asp?url=/technet/security/bulletin/ms03-043.asp

Setup a firewall first, but if you don't need the Messenger Service, turn it off.  If you need it, patch it.  You would also be well advised to spend $50 and buy a home router.

Of particular interest is that Microsoft itself and security experts are seriously reconsidering the role of the Messenger service:

http://www.infoworld.com/article/03/10/28/HNmessengeroff_1.html

http://www.pcworld.com/news/article/0,aid,113321,tk,dn110703X,00.asp

http://news.com.com/2100-7355_3-5095935.html

http://www.cnn.com/2003/TECH/internet/11/07/microsoft.popup.reut/index.html

Here's a link where Microsoft actually outright advises the user to turn off the Messenger Service:

http://www.microsoft.com/WindowsXP/pro/using/howto/communicate/stopspam.asp

Those who would advise not to turn off the Messenger Service for the less than trivial unintended side benefit of being a warning is dispensing advice which contradicts the advice of many real security professionals.

For regular Internet pop-ups

Try the following for use with Microsoft Internet Explorer.

12Ghosts Popup-killer

http://12ghosts.com/ghosts/popup.htm,

Pop-Up Stopper

http://www.panicware.com/

Google Toolbar from

http://toolbar.google.com/. 

The Mozilla web browser, freely available from www.mozilla.org, includes pop-up blocking features by default. 

Other Pop-ups

To deal with pop-ups caused by any sort of "adware" and/or "spyware," such as Gator, Comet Cursors, Xupiter, Bonzai Buddy, or KaZaA, and their remnants, that you've deliberately (but without understanding the consequences) installed,  two products that are quite effective (at finding and removing this type of so-called "scumware") are:

Ad-Aware

www.lavasoft.de

SpyBot Search & Destroy

http://security.kolla.de/

 Both have free versions.  It's even possible to use SpyBot Search & Destroy to "immunize" your system against most future intrusions.  I use both and generally perform manual scans every week or so to clean out cookies, etc.