Your machiner actively seeks out connections. That means whenever you log onto a network (eg: the internet) your machiner will seek connections on any one of 65550 ports. (save for those specific ports already used for apps)
It's not simply an addition to your machine, a firewall is a necessity. I recommend Kerio 2.14. It's free, and best-in-class for all sorts of reasons.
Another comment mentioned is that if you're running win2k or xp, you really should close down services that you're not using.
If you tell me how you compute, I can ( and I am sure others can also) tell you which services you don't need to run. Messenger is one of them.
If you are not on a network, messenger, server and a slew of other services should be shut down.
Also, when you get that firewall, make sure you block port 135...there is nothing that will legitamately need to communicate with your box on this port. It's RPCSS and is always running by default on win2k and xp, which means it is always actively looking for connections. This is how that #$## ad-pop-up got onto your box.
I am writing a letter to my congressman today about this issue. I believe it may be illegal.
Also, it's an excellent idea to modify your HOSTS file.
This file tells windows the addresses of the sites you surf to (like a DNS list for Windows to rely on) which makes surfing to that site fast. You can use this file to block websites by giving them an address of 127.0.0.1, which is your machine. EG:
===============================
slimy_ad_losers.net 127.0.0.1
big-ed's-lowdown-marketeers.com 127.0.0.1
===============================
There are a couple excellent ad-and porn, spam, blocking hosts files you may use.
TIP; after you create your new hosts file, shut down explorer(ctrl+alt+del), both of them, then restart them the same way...type"explorer" in new task.
this will reset your registry without rebooting.
if you are on a dial-up and no network, you will need to block 135, 137-9, and a few others. block icmp-8 as well, ping reply-outs. There is no need to tell that script-kiddie that you are there and open for mischief.
Good luck.
If you, or anybody needs a primer on how to safeguard your box, just say so. I can point you to excellent ones, and even my own.
happy surfing.
brian