Parents should be the first and primary protectors and teachers of their children. Though the government does have the responsibility to keep the country safe, it is not the government's right or responsibility to assume the role of parent for anyone. While it is perfectly appropriate for the government to place restrictions on some things for the greater public good, parents still have the privilege and right to be responsible for their children.
Unfortunately, we are living in a time when too many parents have abdicated their roles as protectors and providers, and the government has assumed that role in way too many ways.
Advertising works or companies would not spend money on it; therefore, parents need to teach their children to be discerning and make good choices. Your question assumes that all or most advertising is detrimental, and that is just not true. If children learn to reason, they will make their choices in life without being swayed too much or too far by any negative influences, including advertisements.