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If by "search engine friendly" you mean "Will the spiders follow the link?", then it depends on what your link looks like, but if it's something like <A href="clicks.php?adnumber=5>The Ad Text</A> then yes, the spiders will follow it.
If by "search engine friendly" you mean that you want the link to pass PR to the destination, then no, it won't. I don't know a way to track outbound clicks from your site and still have a clean, direct link to the destination. Maybe there's such a thing and I just don't know about it, though.