3) In the Filter level Select 'High: Block all pop-ups (Ctrl to override)'
4) Click on 'Close' and and all pop-ups would be blocked.
Note: When you don't want to block a pop-up simply hold 'ctrl' key on your keyboard while clicking on the link that would generate a pop-up.
If you don't have Windows XP - SP2 then you will not be having the above options. In that case you might have to use a third party pop up blocker. Google Toolbar is a recommended pop up blocker available for download at Top 10 Freeware section.