It seems like everything is being tracked accurately. For instance, here is the data captured from the __utmz cookie when I navigate to your website:
116033492.1290446486.1.1.utmcsr=clickdistrict-cpm|utmccn=CZgezinnen|utmcmd=banner
This confirms that the campaign details are being recorded correctly.
However, at times, it may take a little longer for the campaign information to be fully processed.
The summary of the __utm.gif hit shows that there are no issues with the tracking:
Account ID : UA-19793814-1
Host Name : www.czgezinnen.nl
Page : /?utm_source=clickdistrict-cpm&utm_medium=banner&utm_campaign=CZgezinnen
Referring URL : http://stackoverflow.com/questions/4244621/google-analytics-do-not-track-campaigns-tagged-links-from-banners-leading-to
Hit ID : 419250843
Visitor ID : 890842162
Session Count : 1
Session Time - First : Mon Nov 22 2010 12:21:26 GMT-0500 (EST)
Session Time - Last : Mon Nov 22 2010 12:21:26 GMT-0500 (EST)
Session Time - Current : Mon Nov 22 2010 12:21:26 GMT-0500 (EST)
Campaign Time : Mon Nov 22 2010 12:21:26 GMT-0500 (EST)
Campaign Session : 1
Campaign Count : 1
Campaign Source : clickdistrict-cpm
Campaign Medium : banner;
Campaign Name : CZgezinnen
Language : en-us
Encoding : UTF-8
Flash Version : 10.1 r103
Java Enabled : true
Screen Resolution : 1280x800
Color Depth : 24-bit
Ga.js Version : 4.8.6d
Async Snippet Used : false
Cachebuster : 816335729