Here are a couple of links explaining some of the options to block content.
http://www.sherylcanter.com/articles/oreilly_20040330_HostsPac.php
http://www.schooner.com/~loverso/no-ads/
http://www.everythingisnt.com/hosts.html
I use Hao's K-MeleonCCF 0.03 Beta4 which has pretty good support for blocking things with PAC & hostperm1 files. ( he's also got a whitelist/blacklist implemented & ClearAd )