It sounds like you have some software that may be serving ads to you, even with IE closed. This is often packaged with applications such as Kazaa, and the multitude of add-on toolbars for IE, utilites to place a weather or time icon in the taskbar, etc. Kazaa is especially nasty, installing the notorious Bonzi Buddy. The end user is often unaware of what is actually being installed by these "extra" applications.
The grey pop-up ads are from the Windows Messaging Service and are difficult to eliminate unless you run XP, in which case you can enable the Internet Connection Firewall.
My suggestions are:
1. Uninstall any "extra" software as described above.
2. Get a good popup blocking software package.
3. Get an ISP such as Earthlink that blocks popups themselves, and gives subscribers popup blocking software
4. Get Windows XP Professional, and use the Internet Connection Firewall.
5. Only install applications from known, reputable companies. The "extra" helper applications seem useful, but usually contain more than they advertise. Where I used to work I enforced this policy, earning the nickname Network Nazi, but the number of problems decreased dramatically.