Ad-Aware won't stop pop-ups.
What it will do is alert you software that piggy-backed into your system that posts your personal information, e-mail address and internet habits to businesses (big brother is watching, do you really want the world to know your viewing habits?).
You could add their addresses to your firewall and block them from entering. But that would really slow the downloads.
There is a program that will stop pop-ups as they try to download. I just don't remember it's name. I used to have it, it worked really well but it did slow things down.
I'll try to find it.

Found the one I used to use.
Pop-Up Killer

Also found this one, not frre, but it does clear the internet tracking cookies.
Super Blocker

I used to use pop-up killer, but it wasn't compatable with AOL. Proably because AOL was largly based off of pop-ups and would go into cyber melt down if prevented from doing such...

Cord..

It sounds like you have AOL. If you do, go to key word upgrade and get the latest version (8.0 Plus). It has a pop up killer that works. It also has some other neat tricks.

I'm currently running 8.0 and the pop up blocker is set on kill. Worked good on AOL, but is nothing for this little gremlin.

Pop-up stopper from panicware sells a version compatable with AOL. If you are reffering to the messages shown in gdfatha post that, as someone mentioned is caused by someone sending messages to your computer using the windows messenger service. It can be disabled or blocked by a firewall (hardware or software) oh and get anti-virus software now, i use Norton but MacAfee is fine also, if you get hit the outcome can get very ugly.

I use ZoneLabs, it blocks 99% pop-ups