Browsers have moved on. There are at least four places that websites can store information temporarily or permanently on your computer:
- traditional cookies
- local shared objects aka' flash cookies'
- 'HTML5' localStorage and sessionStorage
- web applications can store data in their own databases

None of these actually causes pop-ups. Popups within the browser are mostly caused by javascript within the website (but may be caused by malware). You can turn javascript off, but then most websites won't work.

My advice would be to use a better browser, Mozilla Firefox or Google Chrome, because Internet Explorer is the most-targeted. Configure the built-in popup-blockers, and install add-ons such as AdBlock Plus to get rid of intrusive adverts.

Make sure your machine is free from Malware and has suitable anti-virus and anti-malware programs installed. (I don't use Windows so I won't advise on which.)