The free add-on market for Internet Explorer is anemic compared to
Firefox's, but you're not totally out of luck. A good place to start
is IE7Pro. IE7Pro isn't just an ad-blocking add-on, it also has a lot
of other useful features like tabbed browsing enhancements, crash
recovery, mouse gestures and more. In the ad department it blocks
Flash ads, images, and IFrames much like Adblock Plus according to
URL.
IE7Pro

Unlike Adblock Pro, by default IE7Pro automatically blocks all Flash
movies, which may include things like games or videos you're
interested in. In this case, you have to add the site to your
whitelist by right-clicking on the IE7Pro icon in the status bar and
choosing Ad filter advanced > Don't block this site...

Another option, if you think blocking ads might be worth a few bucks
to you, is the well-regarded Ad Muncher. Ad Muncher is a stand-alone
program that works with all browsers (and some other programs like
ICQ) and claims "the most extensive advertising filter list
available." Ad Muncher is free to try, but costs $24.95 after the 30-
day trial. Also, it has a cute cow mascot which I'm rather fond of.

Like I said, ads can be obnoxious but some of them are a necessary
evil. Remember that some of the sites you use every day exist solely
because of ad revenue, and if you want those sites to continue to
exist you should should do them the courtesy of not blocking their
ads, and even clicking on them once in awhile. That said, for those
ads that give us headaches and get in our way deserve to be blocked,
and hopefully these tools will help you do it.