If it's an online ad, then there are a few possibilities.
The most obvious is that you just need a better browser. One that isn't a raging security and privacy hazzard like Internet Explorer. Chances are pretty good some sort of ActiveX control managed to get installed on your system without your even knowing it that won't show up with AdAware and Spybot (which hopefully you're updating regularly as well). The only real cure for this is to just get yourself a better browser. Mozilla and Opera are two excellent options for Windows. While you're at it, you should ditch Outlook Express for the same reasons as IE.
Another possibility is that you've been infected with a trojan horse. Only the payload on this program is to just cause this ad to pop up (or at least so far as you know). You should be running an anti-virus program along with those spyware removal programs and updating it just as regularly.
A third is that it's actually a Windows Messenger ad (not the same as MSN Messenger) and you need to disable the service.