IE doesnt come with a native ad blocker. Personally, I dont use IE. I use Opera 7.21, and it comes with its own ad blocker that u can easily configure.
But as everyone pointed out there are several ad blocking utilities that u can use, including the pop-up blocker on the google toolbar. There's an ad blocker in the Pro edition of either Ad-aware or ZoneAlarm, and the free Outpost firewall also comes with an ad blocker.
There are several dedicated programs for this like AdSubtract. You can get a good list at this URL.