You could try editing your hosts file and pointing the offending ad's hostname to 127.0.0.1.
Edit the file %systemroot%\system32\drivers\etc\hosts
To the bottom of the file add the entry:
127.0.0.1 hostname-of-the-ad
Where hostname is the hostname of the ad. For example, if the ad's URL is http://www.some-ad-service.com/, you would use www.some-ad-service.com as the hostname (thanks slhck, for pointing this out).
Save the file.
Now whenever your machine attempts to access the ad's URL the request will be sent to your local machine instead. The end result being that the ad is blocked.
Best Answer
I'm not aware of Skype providing such comfort noise. And there is no setting to disable it.
--> Are you sure Skype isn't simply picking up ambient noise (computer's cooling fan, harddrive, etc.) either from your microphone or from the other party?
Steps you could take: