well I use mozilla which has a pop-up blocker built in too. If you have spyware on your system, it's not poping up in IE so much as just poping up in general when you visit certain sites or sometimes (depending on the program) just pops up when not even online. Also another problem is that when you are on a broadband connection, certain web spiders, crawelers, etc can use the windows messenging service (not windows messenger, two different things) to pop-up adds. There's a simple fix for this too, but if you don't know about it, it gets annoying.

spybot-vs-adaware. I use both because they are both free and sometimes one will catch something the other misses.