Well, according to Apple’s recent TV ads, a Mac is so easy and intuitive to use, I would guess that you only have to desire to have the popup window close, and it would be gone. Right? 
If you’re using IE, just hit ‘cmd-w’ a bunch of times to close the top-most window – I can usually keep ahead of the cascading pop-ups. Or switch browsers and use the new Safari or OmniWeb or Mozilla or…you get the idea. They all have some option to disable pop-ups that you don’t want (i.e., those that you don’t click for don’t get allowed to open).
Then use Command+w, which closes the current/focused/highlighted window.
That’s a roll of film you wouldn’t want developed.
There’s a commercial where you think this guy is playing video games on his computer but he’s actually closing popups excitedly. I think it’s funny.
I had a pop-up yesterday that was a “Cannot read server”!
BWAHAHA! Not only was that company evil, they were stupid!
Opal: try www.proxomitron.org
It’s a teeny, tiny little program that is a proxy server that almost completely kills pop-ups (and does all sorts of other things, like stopping bad-java crap, the < blink > command, kills sites that play music, etc), and is completely user configurable via a text-file so you have complete control over what it kills and doesn’t. I’ve never once even noticed it as a drain on resources. It takes nearly no RAM.
I can’t recommend it highly enough: best damned program I use.
And, not that I’d ever go to porno sites, being all shy and delicate an’ stuff (are you buying this?), but I’ve heard that you can also press the Windows key on your keyboard to bring your taskbar to the front. Then you can just right-click, close on each offending window’s task bar icon.
Not that I’d know from personal experience or anything.
Fenris
Ctrl+Esc also brings up the start menu. But Alt+F4 is the way to go. Between Alt+Tab, Alt+Shift+Tab, Alt+F4, Alt+Space then whatever letter, I never touch windows or taskbars. Love it.
I HATE HATE HATE using the mouse to perform tasks like shifting focus, either between windows, or to elements in a window. USE TAB STOPS PEOPLE.
That is all.
I’ll bring the marshmallows !