Check that the browser your using has the latest up date available.
You could try using a different Web browser. I use
Firefox and it does a good job of blocking popups.
It's also a good idea to scan your system regularly for adware/spyware. Doing that will help keep your system free of unwanted cookies.
This thread has links to reccomended programs:
http://www.gnutellaforums.com/open-discussion-topics/41432-warning-viruses-network-you-should-aware.html