Dear Microsoft, I pay for XBox live every month. Why must you force me to look at adverts?!
If your router supports address based HTTP filtering, like my O2 router does, block the following domains and adverts begone!
[powershell light="true"]
g.msn.com
rad.msn.com
rpt.rad.msn.com
global.msads.net
msnvidweb.vo.msecnd.net
[/powershell]
If your router doesn’t have address filtering, you could use the OpenDNS method.