Some ads will not work or may cause problems on your site, but this is not something to be overly worried about. Broken and dishonest ads aren’t nearly as common as they used to be due to standardisation.
But with the near-infinite combination of web designers, ad designers, ad servers, computers and browsers at play to get each ad to each user, there is always the chance that a problem will occur.
If you see a broken or dishonest ad, just tell your ad network and they will work on removing it asap – best practice is to take a screenshot of the ad to send to them and let them know what browser you are using, what country/state you are in and the URL where you saw the problem (without these things it will be hard for them to track the ad down).
It’s in ad networks’ best interests to get rid of problem adverts as quickly as possible; they won’t get paid for broken ads and they don’t want to lower your user count any more than you do. As for dishonest ads – ie ads that give you viruses or link to a different place than they claim – it is even more in the interests of the ad networks to stamp down on these ads.
The online advertising industry struggled for credibility for a long time due to dishonest ads being put about so they are very wary about this sort of thing. Most companies will work pretty hard to weed out this sort of advert, so if you see one tell them and they should be pretty helpful.