Norton Internet Security 2003 is't just a great pop up, ad blocker, its a firewall and lots lots more great features. Get it Here (Must have K-Lite and Sig2dat)
zone alarm pro has these features too
1 cookie blocking
3 mobile code control blocking
4 its a firewall
I use Zero Popup 3.5
its only for IE.. and it doesnt really use resourcess at all..
it only runs when you open IE...
and it has other features like.... Disallow Banner adds...
and other stuff
its simple and yet powerfull.