I'm pretty sure everyone has this issue with ads popping up (although mine lets me shut the tab off) As long as you don't click on anything in the tab you should be ok. But I would look into getting some kind of adblocker.
If it's one of those pages that won't let you close it because a gray box keeps popping up, check the "Prevent this page from creating anymore dialogue" box and then 'x' out the tab. As long as you click nothing else on the page, it shouldn't give you any other problems.
Another thing I do is 'x' out the tab as soon as it opens, before it even has time to load. Try predicting where the tab's 'x' will be and get ready to click it.