I used to use Proxomitron at home to filter web crap on my Windows machine. Then I switched to Privoxy, which does basically the same thing, except I run it on a FreeBSD server where it cleanses the web for all the other machines on the LAN. That said--I just started a new job, so I installed Proxomitron on the WinXP machine they gave me. Here we get to real point of this post: there seems to be an active Proxomitron user community at CastleCops.com, and user Grypen maintains a nice filter set. (There are others too, but Grypen's seems to have the most recent updates.)

1. Hit the filter set announcement page and download Proxomitron and the filter set.
2. Install Proxomitron, then quit it.
3. Install the filter set.
4. Restart Proxomitron.
5. In IE, go to Tools/Internet Options/Connections/Lan Settings. Change your proxy to localhost port 8080
   1. Once you have made this change, IE will not load pages unless Proxomitron is running. Remember that!
6. Enjoy the web without all the crap

Sad side note: while digging up this stuff I learned that the author of Proxomitron died in 2004.