One way to block sites is by adding entries to Windows' "Hosts" file. This file is just a plain editable text file that lives on your computer. It has entries that look like:
127.0.0.1 media.fastclick.net
When you surf to a site, Windows automatically checks to see if the address is located in the Hosts file. The number 127.0.0.1 is the "loop back" IP address of your own computer, so Windows skips the link to the site (media.fastclick.net) and moves on. The ad server can't open its window, so it can't load any programs, spyware, or cookie files either.
You can open the Hosts file in Notepad and edit the entries so the sites you want to avoid are blocked. In Windows XP, the file is located in the C:\Windows\System32\Drivers\Etc folder. You can learn much more about the Hosts file at this page:
Blocking Unwanted Parasites with a Hosts File