In most cases, this is unnecessary. Chances are that the spammer's service provider receives complaints about unsolicited mail, they will take action. They may issue a warning to the offender, or if the offender has been warned before, they may terminate their service. This spreads news of the attack, helps put pressure on the offending site's administration, and alerts sysadmins who can lean on rogue sites. Do not be taken in by this.
Talk is cheap, especially when someone else pays.
The advertiser does not have the right to put you on their mailing list in the first place, and if you quietly remove yourself by mailing this address, you are helping to legitimise this mode of operation. If nobody complains, it will become accepted practice. If you find any companies which advertise such data or programs for sending unsolicited advertisements, it may be a good idea to let them know that they are providing a service which is not appreciated and to politely ask them to desist. Spammers buy e-mail lists, and the addresses can be very old. When this happens, repeat the spam-hunting procedure, only with an even greater degree of righteous anger.