One way is to go into Internet options, select the security tab & choose custom level, scroll down to Scripting & set it to prompt. However this will basically make web pages inpossible to view since all these annoying pop-ups are the result of scripts on the web page your trying to view.
As suggested pop-up stoppers are the way to go, I use ZoneAlarm Pro, in the newer versions it has a new option called Privacy, which so far has worked great for stopping most pop-ups of the nature your refering to, while leaving the harmless ones alone
Another stand alone program is AdSubtract, I've used it & it works great.
http://www.adsubtract.com/