If you are using any paid search services other than Google or Bing, I would strongly look into click fraud detection. The easiest way to do this is on your own end...
First, you want to make sure that it is a real user, not a bot. You can check the following...
1. Does the user carry a referrer?
2. Does the user accept cookies?
3. Does the user allow javascript?
4. Does the user allow flash?
The above are some simple tests - neither of them individually conclusive - that can test if it is a bot.
Secondly, you want to make sure it is not the same user over and over again, by tracking IP addresses.
Third, you should make sure that your clicks aren't being generated in small iframes or popunders - the easiest way to do this is with javascript and capturing the window size and/or whether self.window = top.window.
Fourth, you should track what users are doing once they reach your site. If your conversion rate is less than 1/10th of Google AdWords or Bing, you should be concerned.
You can always use a third party software like AdWatcher, which is pretty good. It can get buggy in large volumes though.
Good Luck.