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I haven't been using Windows for browsing for some time, but I seem to recall that an ad without a close button can be dealt with swiftly by means of a right click on the appropriate window icon in the taskbar, producing a popup menu with a close option.
Regardless of OS, I also recommend flashblock and the various varieties of adblock. And at least review cookies regularly. Most browsers I have used have an option which makes this very easy.
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