There are several click fraud programs out there that help you detect fraudulent click activity. Some even go further by throwing up a warning screen after X clicks from the same IP address. The warning screen might say something to the effect of; Thank you for clicking over to our site. In order to keep prices competitive, we would like to notify you that your IP Address (xxx.xxx.xxx.xxx) has click over to our site from [referral] X times. Please note that we have logged this information for reference. Please feel free to bookmark our site by selecting control + B and thank you for stopping by".
A thread at WebmasterWorld named Self Clicking Syndrome: Why doesn't Google build a blocker? asks why doesn't Google do this themselves? The reasoning is that why would Google want to reply to all of those "I've clicked on my own adsense, will I get banned?" emails sent to them.
Most people in the thread feel Google has transparent detection software built in. And you an I know, its not really to Google's or Yahoo!'s advantage to pop up one of those screens to the end user. Maybe the advertiser will get mad, maybe the end user will be upset. If anything, maybe Google can offer it as an option to the AdWords customer. But there are third party tools that do this already.