The folks over at mvps.org have come up with a much tidier way to block unwanted content without having to install software or configure too many zones in IE.
NOTE: This is not a be all/end all for stopping things, it is simply a work-around.
What they have come up with is a massive host file which you can save to your machine to "trick" it in to thinking the services don’t exist.
The file is simply called "hosts" – no extension – and for those of you with an up-to-date operating system (XP, Vista, Windows 7) all you need to do is copy it in the following directory:
c:\windows\system32\drivers\etc\
*It doesn’t matter if you have x86 or x64 either – the directory is always (well 99% of the time) there.
What exactly does this do then? The file essentially tells Windows if it is looking for ad.doubleclick.net (one of the most annoying sites – which puts advertising on most websites), the address is 127.0.0.1. What does that do you ask? 127.0.0.1 is one of the secret names for your machine…so essentially when the website you’re visiting wants to go to ad.doubleclick.net (which would normally deliver you a rubbish ad, cause extra HTTP calls, take up more bandwidth), it simply calls your machine and presto, no add, less overhead, happier you and happier Windows.
Another one of life’s little Windows tricks. Enjoy 
