Theoretically, it's easy as pie. However, the whole way internet advertising works is that a website gives a link to a third-party domain where the advertising

Theoretically, it's easy as pie. However, the whole way internet advertising works is that a website gives a link to a third-party domain where the advertising is served from, and that way the advertising network knows exactly how many hits it's gotten from the site, and then pays that site based on that number of hits. If the site served ads directly, then the advertiser would have no real way of verifying how many hits it got; they'd have to trust their client to give them the correct number, and they don't trust their customers that way. Also, it's even more complicated: the advertising network lets different advertisers bid on each ad in real-time (which is part of why it's so slow to load ad-laden sites), so it's unknown what ad will pop up when you load a page. Now of course, with ad-blockers becoming so commonly used, this system might be forced to change.