How can I block ads in Internet Explorer?
IE's built-in Tracking Protection feature does ad blocking. No add-on needed.
You'll need to subscribe to a Tracking Protection List. Your choices range from bad to good.
galacticninja once pointed out that some Tracking Protection Lists block tracking content only, not just ads. But plenty of lists deal with ads:
TRUSTe: bad. TRUSTe is a for-profit corporation; its list overrides other lists and allows thousands of sources to bring in ads. Do not subscribe.
Abine: mediocre. Abine's lists have good star ratings there, but they don't block all ads. A line-count tool shows me that the "Abine Standard" list contains only a few hundred rules.
EasyList Standard: good. This list has a lower star rating there, but is far better. It includes more than 8,000 rules. I suspect that users rated it only three stars there because it was designed only for ad blocking, not for privacy protection.
Update: In 2013-08-13, Adblock Plus (ABP) for Internet Explorer has been released. It uses EasyList, with an option to use it with one of the regional EasyList variants. Since this uses ABP syntax filter lists, it blocks ads better than the less effective IE Tracking Protection Lists.
Adblock Plus for Internet Explorer download page
You can also use lists for IE's Tracking Protection content blocker.
Note that this doesn't block as many ads as the filter lists used by ad blockers for other browsers (like Adblock Plus or uBlock Origin) due to limitations on how it can block content.
EasyList Standard and Fanboy Adblock List are IE Tracking Protection lists designed to block ad content (which might not necessarily be trackers).
You might also want to use EasyPrivacy Tracking Protection List and Fanboy Tracking Protection List. These are geared towards blocking trackers, which might not necessarily be ads.