Hi Frank, firewalls do not block pop ups.
If you are taking about browser pop ups you should look to install a
specific pop up blocker. You don't say what your operating system is so I'll
list your options:
1) If you have Windows XP - Install Service Pack 2 it comes with a Pop up
blocker
2) For older versions of Windows download either the MSN or Google toolbars
both of which include pop up blockers.
Get MSNs here:
http://toolbar.msn.com/
OR
Get Googles here:
http://toolbar.google.com/
If you are talking about the pop up from IM (i.e. the Today window) that can
be simply switched off just go to the "Tools" menu from the Messenger Window
and click "Options". Then click the "General" tab. Now make sure the
"Display MSN Today when Messenger signs in" is NOT ticked.
Finally you should run a spyware scan as it is possible you have been
infected.
I suggest the Adaware SE, it is free and you can get it here:
http://lavasoft.element5.com/support/download/
Good luck
BB