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, you can use a browser such as Firefox that automatically blocks pop-ups or install a program that protects your computer from spyware.