That's called "banner blindness". It's important to keep in mind that banner blindness applies to things that look like ads, not just ads.
http://www.useit.com/alertbox/banner-blindness.html
On a related topic from that link, I don't think I've ever come across a banner ad made to look like a dialog box that has been good enough to fool me. But again my experience seems to suggest that those with less computer experience are far more easily fooled.