Set to transmit commercial in Brazilian city (5)
I believe the answer is:
radio
'set to transmit' is the definition.
(set for transmitting radio signals)
'commercial in brazilian city' is the wordplay.
'commercial' becomes 'ad' (abbreviation for advertisement).
'in' is an insertion indicator.
'brazilian city' becomes 'Rio' (Rio de Janeiro).
'ad' going within 'rio' is 'RADIO'.
(Other definitions for radio that I've seen before include "Broadcast receiver" , "Receiving device" , "Sound broadcasting" , "It used to be called the wireless" , "Transmitter" .)