O elemento é igual a um dos valores SQL Server

Put parentheses around the "OR"s:
SELECT ads.*, location.county 
FROM ads
LEFT JOIN location ON location.county = ads.county_id
WHERE ads.published = 1 
AND ads.type = 13
AND
(
    ads.county_id = 2
    OR ads.county_id = 5
    OR ads.county_id = 7
    OR ads.county_id = 9
)

Or even better, use IN:

SELECT ads.*, location.county 
FROM ads
LEFT JOIN location ON location.county = ads.county_id
WHERE ads.published = 1 
AND ads.type = 13
AND ads.county_id IN (2, 5, 7, 9)
Vast Vendace