It depends. For example, when you click some pop-up ads, they install spyware on your computer that captures private information -- such as your username and password -- when you type them into web sites. 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, you can use a browser such as Firefox that automatically blocks pop-ups or install a program that protects your computer from spyware.