Nothing
Ditch your firewall and try Kerio.It also gives you web filtering.It will block popups.popunders, advertisements,javascripts,active X, vbscripts.Will also filter foreign, persistent and session cookies.Will deny servers to trace web browsing and can be put in stealth mode which i was shown the other day on one of the tests listed on this site.You just have to experiment a little because it will block too much on some sites.I have a few that i know i have to untick this or that to make that one work.But it does a tremendous job and in the 2 months i used it, not one popup.