Under WINNT/WIN2K/WINXP the hosts file is located in

%systemroot%\system32\drivers\etc\hosts

Try this search to find more info on setting it up and also pre-configured hosts files for blocking server known to serve pop-up adds. Beware, they can get pretty big. Mine is currently 450k or near 12500 lines. This does not seem to have any noticable effect on my browsing, but others have reported some degradation.

I haven't seen a pop-up for ... well, a long, long time.

Then again, I don't have js enabled except for specific sites and Opera 6 has a built-in pop-up refusal option too.

As my Dad would have said. "A belt and braces man".

Also, I have no knowledge of the one you mentioned, but in the past I used an ad blocking proxy that seemed fairly effective called Proxomitron, which has some pretty nifty features, regex search and replace etc, but the maintainence was quite high. The hosts file solution is infinitly better.