There are lots of combinations. Some use a firewall like Norton or Outpost which also block ads.
http://www.voodoofiles.com/5955
I prefer AdMuncher to get rid of popups and ads on web pages as well as in programs and a firewall to handle just it's primary job. On top of that you need a good anti-virus program and I also use Trojan Remover for extra protection against trojans and worms. Trial and error is the best way to see which works for you.