There are a lot of ways you can block ads. You can install a firewall...you can run Ad-Aware...but for more advanced users, there is a way to block individual advertisers.
Basically, you can tell your computer "these sites don't really exist". The way to do that is to change a file on your computer, a file called hosts. To repeat, this is a more advanced feature.
Someone actually has provided a free site that blocks most of the major ad servers.
You can download it here: