An update for 8.1 users (especially RT since you don't have a choice of browser):
I couldn't figure how to enable Tracking Protection Lists in the IE11 browser on desktop, because desktop mode is normally where all the settings reside; the Safety > Turn on Tracking Protection option wouldn't stick.
Apparently that setting has moved to Metro IE11. In Metro IE11, swipe from the right and choose Settings > Privacy. You'll be able to add TPLs from the Metro browser, which enables predefined content blocking. The settings apply also to the desktop IE11. I ended up installing three of the lists just because. I don't see ads on this forum anymore, on my Surface.
Don't know if this is a bit late but,
some things you might want to try, some of which might have been suggested in the previous posts:
In Desktop IE11
under Tools in Command Bar -go to internet options -privacy-advanced-put check in box for override automatic cookie settings--third party cookies- block
under Tools- Manage Add-Ons-Tracking Protection- Get tracking protection lists online
In Metro IE
press Windows key then I key
under settings go to Privacy
select from given choices