Something I thought I ought to share:
http://winhelp2002.mvps.org/hosts.htm
This is the website of the MVPs.org hosts file. All it is is a giant list of advertisement and malware domains, each aliased to 127.0.0.1, i.e. your local computer (which should not be serving up anything). So if your browser tries to make a request to one of said domains, it arrives at a blank page instead.
You just download and decompress the zip archive's contents, and run the batch script contained therein (or manually copy the new HOSTS file over your old one).
The difference this makes on some sites is pretty huge, and furthermore it is browser-agnostic, so you can use it with Internet Explorer.
Mandatory disclaimer: this trick will not protect you from USB autorun malware, worms, phishing, trojans disguised as useful files, or your own stupidity. Use at your own risk.