Yes you can however, keep in mind that these "annoying ads" pay for the service that you're
using. Not only could they be made more "annoying" then the small animated gifs that they
are now (for example, AOL Instant Messenger now adds sounds to their advertisements), but
they could also end up in the actual conversation windows (like ICQ).
If you really "must" remove these, you can use a third-party utility like Messenger Plus
(
http://www.msgplus.net). However, keep in mind if Messenger ever becomes a pay service, you
may be partly responsible.