I don't know of any extension or plugin to do that, but you might be able to do something similar to my setup...
Check the web address for the shockwave advertisement. I've noticed many sites that have ads go through an "intermediate" marketing agency. In other words, the site contacts a middle-man server to receive the ad content. If this is the case, open your /etc/hosts file and make an entry for that site. Specifically, something like this:
Code:
0.0.0.0 ad.doubleclick.net
0.0.0.0 is the network equivalent of /dev/null. So, when your browser sees a url to ad.doubleclick.com, it simply won't even attempt to retrieve the content; essentially ignoring the link entirely.
Obviously, this won't work if the site is hosting its own advertisements. In that case, you might be forced to search for a plugin, or crack open the source code. Chances are good there's a single line that displays the dialog box. Commenting it out and recompiling might not be a huge task. Then again, I've never looked at the code and can't say with any certainty...
