no you dont do that with mambo simple go to modules click new scroll down insert the code in to the custon content and then see if it works by clicking preview. then puplis it and but it in the left or right module sides!
Ok, you could do that or you could open the folder of the template you use, and open the "index.php" file and at the very top of everything paste the ad code. You can preview this one on my site I just set up: http://vermill.x10hosting.com/mambo/