I use Kaspersky KIS 2010 at home with all sorts of filters and blockers. I'm not advertising the KIS product. KIS is able to block a lot of this stuff, but the truth is that MOST of the good packages can do this. It is a matter of how we install it and what features we are willing to turn on.
On the other hand, I'll add this note. While working on my day job for the U.S. Department of Defense, I used to teach Windows Security for System Administrators. Per a study by the SANS Institute not that long ago, failing to patch systems on a regular basis was in the top 3 reasons why a system would be affected by security threats. Others included use of firewalls and use of comprehensive security software. 'Comprehensive' in that context was anti-virus scanner with e-mail tie-ins; ad-ware blocker; spy-ware blocker; and active threat detection capability such as heuristics, file-system tie-ins, and program behavior checkers in general.
Many good packages from Symantec, McAfee, and Kaspersky Labs have at least 75% of those features built-in. To my way of thinking, any computer professional who doesn't have one of the advanced systems is either daft or is so new to the game as to not have yet been enlightened. Here's hoping my comments will be viewed as constructive. That is how they were intended.