I hear a lot of people say "Firefox is better, because it has AdBlock Plus", but sadly a lot of people don't know that Internet Explorer 9 and all the successive versions have such a feature too and right out of the box. Microsoft calls it "Tracking protection", which with the help of predefined lists blocks certain scripts and elements on the website you are visiting from running.
Since tracking protection runs inside IE at all times, it depends on the lists whether the browser blocks anything and how much. Microsoft has collected the most well-known lists on this website, but you can use them from a different source or even your own. Once you are on the website, I've linked you to, just click on the Add button of the chosen list, confirm the selection and you are ready to go.
Before, I've mentioned somewhere that you can create your own lists. This can be done by going to the Add-on manager, which is hidden behind the gear in the top-right corner. Once you are there, select the personal list and hit Settings. The new window is what you are looking for. Once you are done, don't forget to enable it, because this list is disabled by default.
The same window is used to remove or simply disable specific lists as well.