Use a quick guesture that you can close the window as soon as you see it. :)
You should try some third party IE plugins, or some IE-cored browser shells like MyIE2 (freeware, [url=http://www.myie2.com),]http://www.myie2.com),[/url] GreenBrowser (freeware), or use Opera instead.
If you want an excellent, fast, feature-rich, tabbed. extensible, IE-based browser replacement with popup control and ad killer I think the best one is MyIE2: [url=http://www.myie2.com/html_en/home.htm]http://www.myie2.com/html_en/home.htm[/url]