This is often referred to as "brand bidding" and is a common (and often cost-effective) way of stealing visitors away from competing websites. A competitor bidding on your company's name as a search term is frustrating, but there's not much you can do to prevent them from doing it.
However, if your brand name is trademarked and your competitor is using your business name within the content of their ads, you can file a complaint with Google or Bing. They're pretty quick to respond where trademark infringement is concerned.
