An in-joke it may be, but it's not a Zonk. Unlike a lot of today's in-jokes, this one wasn't over-splained; there was no mention of the TV show.
So as far as Toobworld is concerned, Shawn was referencing the actual ad agency. Now whether or not it's still in existence by 2009, well, that's going to be up to Matthew Weiner. (Hopefully - if AMC is smart, they won't play chicken ever again with his contract and let him oversee his pet project to its conclusion.)
But even if the ad agency is no longer in existence, Shawn may have learned about Sterling-Cooper back in college, or in any reading he may have done that wasn't on the back of a cereal box.
So, no Zonk!
My only real problem is whether or not to accept 'Mad Men' into the main Toobworld. There have been plenty of mentions of other TV shows as TV shows, when they should be sharing the same dimension. Most of these could probably be splained away, but when there was a sub-plot last summer which concerned a particular - and real! - episode of 'The Defenders', that was most likely a fatal Zonk. They even showed scenes from the episode!
I still haven't found a splainin for it, but I haven't given up hope. I'd hate to lose 'Mad Men' from Earth Prime-Time!