There are several ways to create lead capture pages as they were called before Internet Marketers came along and started calling them squeeze pages:) with forms connected to your contact manager or follow up system.
The easiest being use a service like Aweber or Getresponse. They have forms you can paste right onto your website/blog/lead capture page that will allow your visitors to fill out simple forms.
You still have to design a lead capture page which believe it or not, there is a science to creating a good one.
Alternatively, you could use something like my system,
http://busyagentpro.com and it automates the whole thing including the creation of the lead capture site and the forms are not only connected to follow system, they are also connected to your contact manager as well.
If you are using a contact manager such as Top Producer, I believe they now have forms you can paste into your website as well, again, you still have to create a site and a process that your prospects will see enough value in to actually give you their information in exchange for whatever it is you are offering in your ad and on your lead capture page.
I wrote a book about this exact topic back in the year 2000 (I can't believe it has been 10 years) if anyone is interested I could send you a PDF copy, the idea still works as well today as it did 10 years ago when done properly!
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Brian Rodgers, Founder
BAP Real Estate Community
http://busyagentpro.com**2,800+ Homes and Properties Sold**
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http://busyagentpro.com