Use Firefox, and try some of the add-ons such as Adblock Plus, Flashblock, McAfee SiteAdvisor, NoScript (Big fan of this one - it may permanently solve your problem), QuickJava, Refcontrol (controls what get sent as the HTTP referrer), and CS Lite for cookie control.
That's what I'm running. It may seem like a lot, but it doesn't slow down my browser - quite the opposite, in fact. You can find these add-ons on the Mozilla website - just search for add-ons and then search them by name.