If you don't already have Squid installed, I recommend SquidMan. Once you have SquidMan working, go into Preferences, click the Template tab, and add this line at the bottom:
Make sure the Personal Web Service is running (click Sharing in System Preferences), restart Squid, and you should be banner-free!
This is my first installer package, and it seems to work for me on Mac OS X 10.3. As far as I know, it ought to work on older versions as well, but I haven't tried it. I think I've got it set up so the installer doesn't break things, but try it and let me know!