Proxomitron
Just use google to search for it. Kills adds, pop-ups, animations or whatever you want. Fully configurable. It intercepts HTTP pages and cuts out the junk.
Not a firewall, which may disrupt other activities, but great for surfing the web without giving cookies, getting spammed, etc.
You just install it (it installs ONLY to the destination folder) give your browser the proxy "localhost" at port 8080 and your set. (full instructions are provided)
And ad-aware is a must with all the garbage being hidden in downloads these days....