The first question that comes to mind, is why is this a problem? Almost everyone would not consider missing out on advertisements a problem, more lucky circumstance.
But, my first guess as to the cause would be a firewall that also does web filtering duty. Norton System Works does this, ZoneAlarm Pro, even Kerio Firewall does it. If you disable it, the ads should show up again, but I still don't understand why you'd want this.
Using IE6 SP1 on Win.XP SP1. When I surf the internet the words "ACTION CANCELED" or little red X's appear where advertisements should be. I have tried different settings in IE tools options, but nothing seems to help. Any Ideas?