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Clicking the ad takes you to a page that uses more social engineering to simulate the experience you might have trying to play a video file in your browser. The spinning wheel next to the word “Buffering” suggests that the page is trying to download a video but is being stopped somehow.
Although this screen was captured in Google Chrome, the experience is identical in other browsers, including Internet Explorer.
For more details, see "Social engineering in action: how web ads can lead to malware."