That's because messpatch is telling WLM to remove the ads, then the msgplus skin is loaded which contains all the information about how things should be layed out, including the ads, so they are shown again. It's very easy to remove ads and other elements using msgplus skins, although skins won't be allowed into the skins database if they remove the ads. If you want to change one of your skins so there are no ads, you can find aNILEator's guide to removing elements at
http://shoutbox.menthix.net/showthread.php?tid=79693 and "tailor it" to your own needs, although it'll involve a bit of knowledge of the layout files. You can probably find skins elsewhere (personal sites of forum members, skinning forum, etc) which will remove the ads, although then you can't have another skin applied, obviously.
/ 
