How to turn off “pop-up” windows in IE?

Environment:
Operating systems Windows 98, ME, 2000, XP
Browser IE5, 5.5, or 6

Problem:
When visiting many sites new “pop-up” multiple advertising windows appear on my desktop which slows my progress in getting the information I am realy interested in.

Is there any in IE5, 5.5, or 6 to block the irretating windows from cluttering my desktop?

Steve@Chobot.com