It depends. For example, clicking on some pop-up ads might install spyware on your computer. The spyware then captures private information -- such as usernames and passwords -- as you type them to gain access to web site accounts.

Also, if the ad requires you to fill out a form in order to "enter to win" a contest, then obviously the site is capturing your personal information.

To avoid these risks, use a browser such as Firefox that automatically blocks pop-ups, or install a program that protects your computer from spyware.