The pests you mention are commonly called Spyware or Adware. The free version of Ad-Aware SE will remove them but if you want realtime protection to prevent infections in the first place, you'll want to purchase Ad-Aware Plus or Pro which have that prevention feature.
http://www.lavasoft.com/products/select_your_product.phpAlso, the SE version of Ad-Aware will soon be obsolete, so even if you don't decide to buy the Plus or Pro version, you should think about updating your free version to Ad-Aware 2007.