If I remember correctly, this is being caused by Flash multimedia objects, which now seem to be one of the mediums that advertisements are being distributed. The Flash plug-in is allowed to open URL's in new windows, which it can do at anytime. You could block the plug-in from spawning new windows, but this would also block desirable new windows. :/

For lots of great info just on this particular topic, check out Asa Dotzler's blog posting