If you search for 'pop up blocker' at download.com, you'll find loads of free software which claims that it will do the job for you:
http://www.download.com/
(Do an initial search for 'pop up blocker', then filter the results to match your operating system and the requirement for license-free software)
However, I don't bother with any of it because I use Firefox (which is far better than Internet Explorer anyway) and its built-in pop up blocker does the job perfectly well for me:
http://www.mozilla.com/firefox/
Chris