If you are talking about how you see ads play out over the top of a page with a transparent background.......that can be achieved with the use of CSS/HTML layers. The layers can be triggered by the page loading, by mouse over, or even by clicking on something on the page. Once the layer has been called, if the Flash file has been published correctly, then it will play inside of the layer, and will appear to be floating windowlessly over the top of the page.
If you are going to be doing this for a client, be sure to check into who will be serving these ads for you. Each place has its own requirements as to the format, demensions, size, etc. of the Flash files, and you would hate to put something together and then find out you have to redo all of them. If it is for your own site, then none of that will matter cause you can do it how ever you want.
Hope that helps!