I won't ask you for reasons for move etc... as I assume you have these sorted. But if not, definitely worth exploring.
You don't tell me how long you have been in Advertising or where you did undergrad. You also need to be a little more specific about the "type" of management consultancy. Whereas on the outside it all appears similar, there are important distinctions between areas such as Change Management, Strategy, Systems Integration etc...
Therefore, I can only give the broadest advice. If you can get a top tier MBA (e.g. London Business School; INSEAD), this is a great investment - but very expensive upfront and very difficult to achieve. Be careful with less well known MBAs. If you are still relatively inexperienced and you think that the brand of your undergrad institution is weak, you could always do a generic Masters at a place like LSE and then apply for graduate consulting role - but much depends on your academic track record and your appetite for working your way up.
Alternatively, whilst it is obviously easier to move inside a firm to a management consultancy role (e.g. take Accenture role and switch) there are two problems with this that lead me to recommend against it: (a) if you don't actually want the role you are taking up, you could fail to perform and then switching is the least of your issues, (b) never underestimate the opportunity to be screwed and have an internal transfer blocked - times are tough. Therefore, have you thought about approaching a boutique consultancy who deals with the media space? There are great people like Ocean Strategy, but all depends upon your undergrad major (consultancy is very biased on the brand of your undergrad institution).
