What about Google Toolbar for pop-ups?
It's better you take a more secure browser (for instance, Firefox).
Anyway, if you want to use Internet Explorer, try at least Maxthon (more configurable and confortable, blocks pop ups, allow Google Toolbar, etc.)
Also I will set security settings to medium or high?
Dependes on how you feel more protected and comfortable (while working).
Generally, Normal protection should be enough.
Any suggestions...
SpyBot, SpywareBlaster, Ad-aware.
All Windows updates.
A script blocker (see 'Links' on my signatures for more suggestions)