My Two Cents for you:
Service Pack 2 for XP will add more security to Internet Explorer and a pop-up blocker. Also the firewall will be improved.
Look for spyware prevention at http://www.javacoolsoftware.com/spywareblaster.html Spyware Blaster is adding all suspicious websites to the restricted zone of Internet Explorer. The list of websites is frenquently updated.
Look for an Internet Explorer rerplacement like slimbrowser, myIE2, Avant Browser. Slimbrowser: http://www.flashpeak.com/sbrowser/ myIE2: http://www.myie2.com/html_en/home.htm Avantbrowser: http://www.avantbrowser.com/
These browsers are based on Internet Explorer with additional features, like pop-up blockers, ActiveX restriction, etc.
All this software is for free.