Use Mozilla or Mozilla Firefox. That should prevent most ads from popping up, and you can easily block banner ads with it, too. If you're intent on using IE, though, read on.
To prevent this writeup from becoming obsolete over the years, here's a simple method of ad host blocking that you can employ on any Microsoft Windows, *N*X, *BSD or Mac OS X box.
On UNIX, all Linuxes, Mac OS X, and all BSDs (Windows is covered toward the end of this writeup), become root and open up the /etc/hosts file in your preferred text editor. (Note that the same file on a Mac OS X box is at /private/etc/hosts.) Below everything the file already contains (which shouldn't be much), enter a line like this to block a host from resolving during your net browsing activities:
This will force your box's DNS resolver to resolve (in this case) ad.doubleclick.net and adforce.imgis.com to the local loopback device, which means that it won't load any content from either of those servers, unless you've got those hostnames setup as webservers on your loopback device. (Which you won't.)
You can add any ad host you choose by entering another line like those above, only changing ad.doubleclick.net to whatever ad host you'd like to block is using.
On Microsoft Windows, all versions from Windows 2000 on (not sure about its predecessors), open up the file C:\Windows\System32\drivers\etc\hosts in your preferred text editor (yes, the name of the file is hosts -- it has no file extension), and add the following to the bottom of the file:
Once again, you can add any ad host you choose by entering another line like those above, only changing ad.doubleclick.net to whatever ad host you'd like to block is using.
The wonders of the modern age have made the process of adblocking using hosts simple and automatic. If you're using Windows, go download Bluetack's Host Manager, and in under a minute you'll have all the baddies the net has to offer blocked.