If you're not using OS X and don't have the hardware or the know-how to run a proxy server, you may want to try Opera. It allows you to either accept pop-up windows, reject them, or open them in the background. This option is easily accessible, so you can re-enable them when browsing one of the few sites that actually uses pop-ups for legitimate reasons.

On the downside, the free version of Opera has an ad banner built into the toolbar. There is a non-free version (currently costing US $39, or $20 for students) which does away with the banner ad.