In some cases there are sites that have that programmed for ads, I would stay away from those links, they may install adware. If you see those sort of links on sites that don't have them like this one, it means you have spyware/adware on your PC. I would recommend installing a free trial from TrendMicro and running it. You may want to set up stronger permissions in your browser as well. I avoid IE like the plague. Even on msn homepage, I get tons of sites that try to install cookies on my system. I set up IE to prompt me before every cookie install for my approval so when I have to use it, I can at least filter out some of the bad stuff. I run Trend Micro Security on my pc. I set it up to run a full blown scan at 3 am every night. And every morning after I've used IE, it prompts me of cookies it cleared out.
I use Google Chrome and set it to block all cookies by default. I add exceptions when needed and the browser is configured to delete all cookies when I close the window.
I also use Firefox sometimes, I have it set up for strong permissions as well.
It's not perfect, but it doesn't help prevent a ton of that nasty stuff out there on the net.