PETA seems to be more focused on mammalian rights but anyone who crusades for the protection of silkworms would probably also take up the case of flies.
That's probably why there is the comment at the end: "No fly was harmed. The banners were attached with wax and detached themselves after a couple of hours.". It's up to you, whether you want to believe this... :-)
I'm sorry, this is very wrong to do. If you think it's a pest, kill it without making it suffer but don't make any living thing your plaything while you kill it. This is the sign of a sick society, or at least a sick mind.
As with the lady on the mobile, at first it would freak me out watching it fly into my vision if I wasn't aware of "fly by advertisement".
With the wax detaching from the fly, could we then have the ad company or the advertiser fined for littering?