Yes you would need to load the ad banner from the admin side, and wthin the theme itself you have ad spaces which can be configured for the header ad banner and single ad page spots - you can see these settings on the
ClassiPress admin demo "Advertising" tab. You can also add them in the page sidebars using the "CP 125x125 Ads" widget as shown
here. In all of these cases it's a matter of creating the ad image in the correct size and uploading them to wherever you want to keep these images so that you can then link the image via a URL so that it appears on your site. As an alternative, or in addition to these spaces, you can look at ad banner plugins such as
ad stuffer and
banners galore.
If you need further information, please feel free to ask. Thanks.