"What's with all the pop-ups and ads?"
Over the last few years the proliferation of pop-up ads has increased dramatically. The biggest problem with pop-ups advertisements is that legitimate websites continue to use them, so blocking ALL pop-ups may wind up blocking pop-ups that you may want to see (such as a promotional offer at a online store you visit often).
There are two kinds of pop-ups: those generated by websites themselves, and those generated by adware running on your computer. Adware is software designed to display advertisements on your computer, either using pop-up windows on your screen or a bar that appears on the computer screen. The justification of the use of adware is to recoup costs of software development and therefore be able to bring down the cost of the software to the user.
"How did I get this junk on my computer?"
The two most common ways of getting adware installed on your computer are through piggybacking on other applications you're installing, or what can be referred to as "drive-by" installations via Internet Explorer.
Adware is most often bundled with free software downloaded from the internet. There are two kinds of ad-supported applications. The first are those applications that include the ads within the program, so you only see the ads while the program is running, and the adware engine stops when you close the program, so there is no impact on system performance in general. The free version of the Eudora email program is this type of application, as is AOL Instant Messenger.
The second are programs that install a separate advertising program that runs at all times, even if the parent application isn't running. These are a pain in the backside, as they continuously use system resources and your internet connection (see "My modem says I'm connected at <insert rate here>, but everything is going slow!" for more on that). Common ones are Gator/Claria, Wild Tangent, Bonzai Buddy, CometCursor, NetworkEssentials, Internet Optimizer and GAIN. For the most part, these applications do nothing but display ads on the computer.
If you are suddenly getting pop-up ads on your screen no matter where you go on the internet, try to think back to whatever application you recently installed, as that's the application that had the spyware piggy-backed on it. Many file-sharing programs (such as Kazaa, Morpheus and Grokster) are ad-supported, and most Internet Explorer toolbar add-ons (such as MySearchBar, Xupiter and HotBar) are considered to be malicious (though the Yahoo! and Google toolbars are considered to be safe).
Then there are the "drive-by installs". They are made possible by what are called ActiveX controls supported by Internet Explorer. ActiveX allows a web developer to embed a small ActiveX control program in their site, which when activated calls the installer for a larger program. The purpose of this was to more easily allow users to download and install applications needed to view a particular site. For example, in the past if you went to a website that had a Macromedia Flash presentation on it, you received an error that you needed Flash, so you would have to go to Macromedia's website, download and install the Flash viewer, then go back to the first site and reload the page. Using ActiveX controls the developer can prompt you to run the installation routine directly from their site, so you don't have to go anywhere. ActiveX functionality is what allows Windows Update to work.
However, some adware (and its shady sibling, spyware, which collects information from you and sends it to the software maker in order to better target the ads that you see) uses ActiveX controls to trick an uninformed user into installing the software on their computer, typically by claiming to be critical system updates, antivirus software or even spyware/adware removal programs.
In theory, as long as you never answer Yes to any ActiveX installation prompt that you don't know for certain is safe, you would never be subject to a drive-by install. Unfortunately Internet Explorer can be configured to automatically allow the installation of any ActiveX control without even prompting the user to do so. This setting could be set either by a careless user or by another application (usually other adware). There are also vulnerabilities discovered all the time that allow software to be installed without prompting as well. Because of this it is critical to keep your system up-to-date with all the Microsoft Critical Updates--you don't want to get slammed by something that was fixed a year ago.
"So what can I do?"
Check your Add/Remove Programs utility in the Control Panel. Some adware installs itself as a program on the computer, so even if you remove the application you willfully installed, these programs will remain. These are definitely the minority when it comes to adware, but it is nice that they make it this easy to remove them. If you go into your Control Panel (Start => Settings => Control Panel in some configurations, Start => Control Panel in others) and launch the Add/Remove Programs utility, Windows will display a list of all the programs that identified themselves to Windows when they installed. Common adware entries to look for are anything by GAIN Software, Wild Tangent, Gator, Claria, CometCursor, Bonzai Buddy, or NetworkEssentials. While this may not always remove all the applications, it's always a good place to start (at the very least it removes it from the Add/Remove Programs menu!).
Download and install a spyware/adware removal utility. Popular free antispyware applications are Spybot Search & Destroy (http://www.safer-networking.org), Microsoft Antispyware (http://www.microsoft.com/downloads/details.aspx?FamilyID=321cd7a2-6a57-4c57-a8bd-dbf62eda9671&displaylang=en) and Ad-Aware (http://www.lavasoftusa.com, though a direct download link for the free personal edition can be found at http://www.download.com/3000-2144-10045910.html?part=69274&subj=dlpage&tag=button). Download and install one of these utilities and follow the onscreen instructions to scan the machine for malicious software, removing what it finds. It is important to keep these programs up-to-date, and run them often. Microsoft Antisypware can be configured to update itself automatically, but Spybot and Ad-Aware must be manually updated by launching the program and telling them to do so. Do this at least once a week, and run a scan after each update. You may be surprised at how much you find on your first scan! Personally I use both Spybot Search & Destroy and Microsoft Antispyware. Unlike having multiple firewall or antivirus programs (which is just asking for trouble), having multiple antispyware applications on your machine is a good thing, and highly recommended. Sometimes one application finds something the others don't; it all depends on which software is told about the existence of that spyware/adware first.
Don't use Internet Explorer. While Internet Explorer is the most popular browser out there, that also makes it a big fat target for anyone wanting to mess with people. Using alternate browsers such as Netscape or Firefox will protect you from those drive-by installs (they won't do anything about piggy-backed programs though). Just keep in mind that if you use alternate web browsers (particularly Firefox), some websites may not display the way you're used to, depending on how they were coded. This is not a fault of the web browser, just typical of whomever designed the site (most sites will look the same, smaller independent sites are the ones you may notice changes with).
Pay attention to what you're installing. If something is free, there's probably a reason. Things such as internet speed optimizers or really anything that pops up on your screen telling you that it will make life better is likely a bunch of bull, and should be avoided. If your computer has a virus, your antivirus software will take care of it--a website won't (and can't) tell you that you have one just by visiting it, nor can it even determine that your computer is "at risk". Ignore this stuff. Get antivirus software to monitor your computer. Get adware/spyware removal programs to keep your computer clean of nasties. Keep Windows updated via Windows Update and you won't need anyone else to tell you your system is sound--you already know it is.