If you run a personal firewall, make sure you give AdsGone access to the internet.  Here is some more information on this topic.

Are there any security holes with AdsGone? 

There is no security risk with AdsGone. Here is what AdsGone does:

AdsGone does act as a simple web server and listens on port 80. If you run another web server on your computer, uncheck the "block banner ads" which will stop AdsGone from acting as a server (closes port 80). There is no harm in allowing AdsGone to act as a simple web server (port 80). AdsGone does this so it can serve tiny 1x1 pixel blank images to replace where the banner ads would normally be so your browser doesn't show the "broken image". It also counts the blocked ads each time it replaces a banner (and some popup ads) with the 1x1 image. The reason there is no risk is because AdsGone can only serve this single item. Outside hackers can't get anything useful from your computer because AdsGone can't serve anything useful!

AdsGone also occasionally automatically downloads ad blocking data from the AdsGone site so your firewall (like zonealarm) might tell you AdsGone is requesting data from the internet. You don't have to let it if you're really paranoid but then you won't be able to get the latest ad blocking data. If you click on the "Startup" tab while AdsGone is running, you can uncheck the "Automaticaly download ad blocking data".
Keywords: port 80 web server firewall security zonealarm leak