|Yes. You should make the image link to something like "http://mysite.com/counter.php?ad=2".|
The "counter.php" page connect to a database, increment the "clicks" value for ad "2" by one, and then redirect to the website associated with ad "2". Of course, if you are doing this for any sort of business endeavor, you will need to implement something more secure than that, since a person could automatically load your counter.php page over and over to artificially inflate the clicks.
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