What makes the files get into your computer from the internet, and get through internet explore security, anti virus software and firewalls is an internal script in the popup ad, and the best way of securing that not to happen is to block the script from being executed.

This awesome functionality is included in easy popup killer 2.5, because popup windows are blocked before they get loaded.

News:
From now on, Easy Popup Killer will also include black and white list filtering.

The filtering is a function that gives you control over which websites you would allow getting loaded.
This function is very powerful and good for parent control, so now you can specify which site may be loaded, and then let your child surf the internet safe from any unwanted websites.

For more info check out popup killer software