For those of us in marketing, this is a familiar thing to hear. I often respond by pointing out that U.S. companies would not invest $70 billion (yes, that's the size of TV's ad market) in something they thought didn't work. Companies expect advertising to produce returns, just like any other investment. The reason that my friend -- and, I'm guessing, many of your friends -- think advertising doesn't "work" is that they think advertisements are trying to make them do something immediately.