On the next page load, start from step 2.
Ummm...actually, since it's always the same page being loaded, you won't have any choice but to start from step1. But that's okay, because if you didn't, then you wouldn't have any ads to display.
If you are concerned about users who don't have cookies enabled, then instead of pulling the ads sequentially from the array, you would pull them randomly. And in the cookie you would keep a list of *all* the ads that have so far been displayed, so that you could remove them from the array before picking one at random. When the array is empty, you just start all over: clear out the list and pick any of them at random.