I haven't actually done this, so I could be way off, but try looking up WMODE in Google and see if it helps. It's more processor-intensive but I think it basically allows transparent backgrounds and rendering with the page.
As far as closing the ad on click-out, you can do it with the Flash/JavaScript-bridge, but it might be more trouble than it's worth. You'd basically check for something like document.onClick and then call a method you've exposed via the bridge and close the ad via the ActionScript.