This proggy
http://www.coffeecup.com/popup-blocker/ has a feature that blocks direct ads which sounds like what you have.
This one
http://www.lavasoftusa.com/software/adaware/ will hunt down and delete all spyware it finds
This one
http://www.pcmag.com/article2/0,4149,270,00.asp is called BHO Cop and will monitor your system for newly installed spyware