Like Facebook, Apple has taken to obscuring settings it doesn't want you to change.
There are three advertising-related settings buried in iOS 6.
In Settings->General->About-> (scroll down, down...) Advertising-> there is Limit Ad Tracking which you should set to ON
In Settings->Privacy->Location Services-> (scroll down, down...) System Services-> there is Location-based iAds which you should set to OFF (there are also a bunch of other things you may be surprised you're providing location data for).
In magical app (iAdOptOut) you can only activate by visiting a web page from Safari on your iPhone or other iOS 6 device
There's "Interest Based iAds" which you should set to OFF.
Or you can just give up, because for-profit Apple, like Facebook and other corporations, really really wants you to have ad tracking turned on, and will keep moving around and changing the settings with every operating system release.