Here's an awesome piece of software that I have been using for many years. It's called Privoxy, and what it does is create a local proxy that filters through your HTTP requests and feed a "blocked" page to those which request ads. This is especially useful for some (legitimate) programs that download ads from the Internet while you use them, and to prevent a whole load of Flash ads from bogging your computer down. As a bonus feature, you can also see which pages are being requested by your system. However, I think this is present only in versions 3.0.6 and earlier.
Home page: http://www.privoxy.org/
Download page (Windows): http://sourceforge.net/project/showfiles.php?group_id=11118&package_id=23580
To use, install the program, and set your browsers to use it.
IE: Internet Properties -> Connections -> LAN settings -> Tick Use a Proxy Server.... -> Advanced -> enter 127.0.0.1:8118 into only HTTP and HTTPS
Firefox: Tools -> Options -> Advanced -> Network -> Settings -> Manual -> 127.0.01:8118 in HTTP and HTTPS; uncheck Use this proxy server for all protocols.
Setting IE to use Privoxy is equivalent to setting all programs that use Windows' Internet settings to use Privoxy.
Did I mention that this program is portable?