This is how i put the small 125x125 button my website...

go to Admin >> Banner Manager

Edit or make a new Banner..(I personally edited the Sponsor Box and got rid of the Zen advert, and stayed with the SideBox-Banners group that was built in already)

then you go down to "HTML Text"

Copy & Paste the code you got from Google AdSense into the box

Then configure the sort order as needed.

This is the soultion I used, but can be used the same way for bigger adverts as well.

Hope this helps somewhat