There are many ways to do it even without a plugin. The below is a simple solution that can get your site ready very quickly.
- Get your Reollie Ad Player code (one line of Javascript code)
- Login to your blog as administrator
- Click on Appearance
- Select Widgets
- Select the sidebar you want
- Add Text widget
- Click on Edit widget
- Enter Caption.
- Paste your Reollie Ad player code in the text area.
- Click done, Save changes.
Other methods are described in this article: http://www.themelab.com/2008/03/13/displaying-adsense-and-other-ads-with-wordpress/