This works because, by default, sites in the Restricted zone can't run any kind of scripting. I also made this .inf file which you can download to your desktop, and then right-click and choose "Install". It'll add a bunch of common web sites' ad servers to your restricted list, preventing them from using Javascript for pop-ups. This one's for IE5+ for Windows only, too. I'm on Win2K, so if the registry locations are different on Win9x, this won't work. I don't have a machine to test that on right now, though, so let me know.
If you want to see the list of sites blocked, look at the file in Notepad or something, or I can post a list here if anyone asks for it.