I hope I am not over-simplifying what you are trying to do.   But I have done similar things to what you describe with the following approach :

At the module level (either a banner module or a text/html or whatever you are using to display your ads), you uncheck "Inherit View permissions from Page" and you then only assign the view permission to the existing "Unauthenticated Users " role and "Administrators"

Does that help ?

Like he said - the module shouldn't inherit view permissions from the page, rather, the view settings for the module should be set to "unauthenticated users". In this way, only someone who hasn't logged in will see the message.

Keep in mind that anyone who visits the site anonymously will see the module, including those who might have already registered, but haven't logged in yet.

If it's important to also have the "already registered, but not logged in users" not see the message, then a custom module would be needed to set and/or look for a cookie that would indicate the deal.

HTH,
Eric