There are several possibilities:
Privoxy is not running. Solution: verify that Privoxy is installed correctly, has not crashed, and is indeed running. Turn on Privoxy's logging, and look at the logs to see what they say.
Or your browser is configured for a different port than what Privoxy is using. Solution: verify that Privoxy and your browser are set to the same port (listen-address).
Or if using a forwarding rule, you have a configuration problem or a problem with a host in the forwarding chain. Solution: temporarily alter your configuration and take the forwarders out of the equation.
Or you have a firewall that is interfering and blocking you. Solution: try disabling or removing the firewall as a simple test.
More than likely this is a problem with your TCP/IP networking. ZoneAlarm has been reported to cause this symptom -- even if not running! The solution is to either fight the ZA configuration, or uninstall ZoneAlarm, and then find something better behaved in its place. Other personal firewall type products may cause similar type problems if not configured correctly.
If the ad had been displayed before you added its URL, it will probably be held in the browser's cache for some time, so it will be displayed without the need for any request to the server, and Privoxy will not be involved. Flush the browser's caches, and then try again.
If this doesn't help, you probably have an error in the rule you applied. Try pasting the full URL of the offending ad into http://config.privoxy.org/show-url-info and see if it really matches your new rule. Blocking ads is like blocking spam: a lot of tinkering is required to stay ahead of the game. And remember you need to block the URL of the ad in question, which may be entirely different from the site URL itself. Most ads are hoste