Do you mean the yellow bar that appears at the top of the page and says "Windows is trying to protect you without much effort."?
If this is what's happening, then go to Internet Options > Advanced > Security and deselect "Warn me about Active content" or something along those lines. I haven't downloaded the 600MB SP2 'upgrade' so I don't have this option.
If you're talking about ads that are popping up in their own windows then you need to either turn on pop-up blocker or download a pop-up blocker.
This is all assuming you're using IE on windows XP or something.