Yes, they can be a nuisance, but never click inside a pop-up window to close it, even if it has a button or tab that says "Close" or "No, Thank You."
Click on the "X" in the top right corner of the title bar instead. Depending on your browser or operating system, try holding down the "Alt" key and pressing "F4" to close the pop-up window. Click for more online safety tips.