Are you looking to actively block popups or handle them in your application? If you're wanting to customize the blocking, then you'll have to implement the DWebBrowserEvents2 interface, specifically the NewWindow3 method. NewWindow3 method has specific functionality for blocking window popups (i.e. setting the Cancel parameter to true). These methods will also let you show your own window if you wish, though you'll have to provide your own Form to host yet another WebBrowser.
If you'd like to see some real C# source code providing advanced functionality with the WebBrowser control, I'd have to say that this article on CodeProject provided almost everything I know about the WebBrowser control. Be sure to download the source!
@Kramii is correct that you can also use the NewWindow2 event to prevent the popup. NewWindow3 provides additional parameters for if you're looking to inspect the URL or other data about the navigate to actually sometimes block and sometimes handle the popup yourself.