I have now leveraged IE's InPrivate Filtering (also advertised as Tracking Protection in IE9) and build a new XML-based ad blocker for IE8 and IE9.
Quero AdBlock IE XMLhttp://www.quero.at/adblock_ie_xml.php
This is especially interesting for IE9 users, because Quero does not block all content as before in IE9, but works now as an element hider for Flash animations.
InPrivate Filtering has some limitations though, it is not capable of blocking 1st-party content (coming from the same domain as the Web site), so I recommend using it together with the Quero IE9 Flash blocker.
To summarize the ad blocking options, here are my suggestions:
For IE8: the Quero ad blocker is the best choice (really blocks almost everything)
For IE9: use the new Quero AdBlock IE XML InPrivate filtering option together with the Quero Flash blocker
(In Quero 5.1, turn "Hide Flash" on and "Block ads" off, for maximum filtering turn both on).
If you want to block ads without add-ons try this new approach, it's not perfect but quite good.
Follow the instructions on the download page, and make sure you update the xml definition from time to time.
I wish you happy and hassle-free browsing with Quero.