open the /system/etc/hosts file on your android phone via the command line or with a file explorer (must be rooted and have write permissions for /etc/system/hosts)
add the ad server list from http://pgl.yoyo.org/adservers/
to the file
(if you change the IPs to 0.0.0.0 instead of 127.0.0.1, the ads will be killed faster, since they wont die in the loopback with 127.0.0.1, since 0.0.0.0 is an invalid address)
If you find ad server lists from elsewhere, add it to the file and filter out extras doing a unique sort on it. I normally keep the same list on my desktop/laptop and phone and add to it as I go using something like live http headers in firefox to find new ad servers
On a linux box you can do a unique sort with:
sort -u oldFileName > newFileName
Here is my list of adservers I block from found lists and ones I added myself.