My Sister is queen when it comes to catching this stuff.
No matter what Ad-blocking stuff I put in her path she trampled
it down within a month and gets her computer in deep doo-doo.
I tried different browsers including FF,
and she even managed to infect FF with stuff( although i do have to say
it was a da*n site easier to clean afterwards)...
Anyhow my current investigations have led me to three things
1.Avast Anti Virus for the virus side of things
2.SpywareBlaster + SpywareGuard for the spyware side of things...
but 3... and most importantly...
Setting up a Windows Hosts file
This is found under %Windir%\System32\drivers\etc
and theres a site out there (google search it), which is devoted
to maintaining a very big list of no no sites/IP addresses, whilst at the same time NOT
destroying your general browsing capabilities which comes as a prebuilt hosts file.
Sometimes it requires a little tweaking for current networking however
the sites quite helpful...
Anyhow 6 months on... and her computers not picked up so much
as an extra toolbar, a virus or anything, yet she's glued to the machine more than I am,
so either it's working or she's stopped going to dodgy sites. Who knows?
All of these are free btw.
-Edit-
Generally the hosts file will majorly help with blocking ad's...
On mine it even blocks ad's on Yahoo's site