All the major search engines (Google, Yahoo, MSN) offer downloadable toolbars that include pop-up blocking. Plus it's been integrated into the new version of IE6 that ships in XP SP2, together with a lot more protection against spyware (and the second
release candidate of SP2 just hit the windows update site - I'm running it on all my machines).
As gmiley said, for spam filtering a lot depends on who your mail provider is, but you can also use a smart client that uses classification techniques to mark spam. Outlook 2003, Hotmail, and Exchange 2003 (with the free IMF feature) now all share this technology.