Blocking Unwanted Parasites with a Hosts File

The Hosts file contains the mappings of IP addresses to host names. This file is loaded into memory (cache) at startup, then Windows checks the Hosts file before it queries any DNS servers, which enables it to override addresses in the DNS. This prevents access to the listed sites by redirecting any connection attempts back to the local machine. Another feature of the HOSTS file is its ability to block other applications from connecting to the Internet, providing the entry exists.
You can use a HOSTS file to block ads, banners, 3rd party Cookies, 3rd party page counters, web bugs, and even most hijackers. This is accomplished by blocking the Server that supplies these little gems.

Usually you find this in linux as a hosts block. This is the implementation of the same thing via a Windows operating system. Pretty useful although you might take a small hit on system performance if you run Windows 2000 or XP since the file is 380K in length.
Via MVPs