I may be wrong. but the first game to had an advertisement was Arctic Computing's Inca Curse.
I AM IN THE TEMPLE
EXITS ARE NORTH
I CAN ALSO SEE :
A ROCK
A DOOR WITH A LARGE LOCK
A WINDOW
TELL ME WHAT TO DO
LOOK WINDOW
I SEE AN ADVERT SAYING:
FOR HIGH QUALITY SOFTWARE FOR
THE ZX80 AND ZX81
INCLUDING ADVENTURES, CHESS AND
MANY MORE YOU SHOULD GO TO
ACTIC COMPUTING
396 JAMES RECKITT AVENUE
HULL HU8 0JA
TELL ME WHAT TO DO