Pop-up windows in Internet Explorer come from websites, not from programs.
If the build-in Internet Explorer doesn't stop the pop-ups from the sites you visit, try the pop-up blocker built into the Google toolbar. Download the toolbar from toolbar.google.com.
If this doesn't work, please give us an example of a website whose pop-ups are not blocked by Internet Explorer or the Google toolbar.
When you talk about AOL, do you mean when you are using an AOL program to browse the Internet, or do you mean when you are using AOL as your ISP?