You may want to run a virus scan, Steam does not pop up ads during games. The ads come up after it crashes. The messages are "steam community" messages, they pop up in the bottom right hand corner of the screen. They have always been there, they used to pop up on my old pc, playing HL2. The other messages were something to do with steam's forum being back up, and 1 was steam doing an update. Since I turned all the messages off I have had a few crashes, mostly when finishing alchemy in Whiterun and exiting/fast travel to random locations.