A lot of Firewall programs have additional filters beside the Firewall functions.
Some block Popup, other blocks Ads. I am not aware of one that can do every thing.
Norton Security is a combo of Firewall and Virus protection that blocks a lot.
The New System Mechanic Pro is a Combo of comprehensive units.
However you still would need to run, an Adware program to scan for residual ?Junk?.
This free program can help:
Ad-aware 6.181.
A good habit is to look from time to time at the StartUp files and see what is loading.
This free program can help:
Startup Control Panel.
Another good habit is to look at time on the processing that are running and see if there is some strange unit running
This free program can help:
Process Explorer.
Spam filter is email issue and unusually handles separately.
In short you have to decide what you need and read the spec. of the major contenders.
Few more pointers and links here:
What is the Best Firewall?