Internet Advertisement

I keep getting these nagging little IE advertisement windows. No sooner do I click one away, the same one or a new one comes right up again.

In addition to that, I get the IE message that someone is trying to drop a cookie.

The real nagger is that when I click to refuse the cookie, the advertisement window still comes up! And then I may have several windows which all have to be closed individually, and sometimes do not even show up in the task bar and I see it first when I go to the desktop.

How do I prevent either:
1. The site from sending the advertisement?
2. Or when the message window comes up informing me about it and I click to refuse, how to keep the advertisement window from still popping up?