[Hobbes]

Go to your start menu (the little box on the bottom left that says "Start")
Go to the Run command
Type services.msc
(a box will appers with some options and services that windows is running)
Scroll down until you find one called Messenger (note this is not MSN
Messenger or anything resembling your favorite IM application)
Right click and go to properties or simply double click the Messenger
service.
In the Messenger properties box you will see a section with a start and a
stop option. It will be started until you shut it off.
Hit stop.
Then you will see a start up type and it will give you some options.
Choose Disabled.
hit apply or OK
exit the properties box and services.msc
You now are pop-up free. To make sure you did it correctly just stay online
and look for pop-ups. You can also reboot and go back into the services.msc
and back into Messenger. If it says stopped and disabled. You are in
business.

Also dl and run adaware or spybot.