Step 1: Create another user account (I'm assuming that you're using Vista/Windows 7), call it Security
Step 2: Create a nice password. This will be an administrative account
Step 3: Turn UAC up to the maximum
Step 4: Change YOUR user account to a standard account.
Step 5: Use your account day to day and when you need to change something you'll be prompted for the Security password.
Other:
Step 1: Open IE9, click the cog and basically change your Privacy to medium high and change the Pop-up blocker from medium to high. No wonder people get pop-ups!
Step 2: Disable ALL add-ins other than flash. ie9 will be faster.
Step 3: Add this to your hosts file to protect your browsing, be it Opera, Firefox, ie9 etc.
http://someonewhocares.org/hosts/
Security on Windows is EASY but you'll ALWAYS, always, alllwaysss get that user who'll click on the pop-up from that 'pron' web page.