Windows 7: Pop-ups Problem

A few websites I go to have pop ups that render the whole site unresponsive unless they are clicked.

I have to go to taskmgr to remove them or click on them to see what happens but I don't feel comfortable doing that.
Is there another way or a setting that can put them in another window or tab that can be closed? Or even better yet prevent them?

This is the capture:

http://img571.imageshack.us/img571/879/capturebx.png

You didn't what browser you're using, so this is for IE8 ... how to use the built in popup blocker Internet Explorer Pop-up Blocker - How to Use the Pop-up Blocker In Internet Explorer 8 - About Web Browsers

IE9, I added it to my system specs.

This is resolved...

It's hard to find though as noted by no responses with solutions.

Go to tools, internet options, privacy, under popup blocker click settings, at the bottom of the page there is popup level, set this to high.