I may already be preaching to the choir here, but if not:
Strongly consider getting (or repurposing an existing,) Raspberry Pi, sticking a minimal install of Raspbian/DietPi on it and installing
Pi-Hole. Essentially it works as a global ad-blocker for your entire network by becoming your DNS server. If a client requests a domain on its blacklist (lists can be added, or sites black or white listed individually, with wildcard support,) it instead answers the request itself with a 1x1 pixel white jpg. Curated blacklists are auto-updated once a week and the GUI reports on most blocked, most allowed etc domains so you'll soon notice anything untoward appearing. Once it's up and running just alter your routers DNS setting and you're done.
The big advantages over traditional ad-blocking are:
1. It affects all clients on the network, even those (printers, TVs etc.) that don't usually support ad-blocking software, or when your wife/husband/kids let their friends put their devices on your network.
2. Most websites don't detect an ad-blocker in situ as there isn't one on the device, minimising the 'please turn off your ad-blocker' stuff.
3. It can block things the OS either can't or won't, like Microsoft telemetry.
4. If you install
Unbound as well, it becomes a recursive DNS, keeping a local DNS cache and only referring to authoritative name servers.
5. It's all open source.
The only downside I've found is that as it gets more popular some device makers/providers (Google, I'm looking at you in particular,) have started hard coding in their own DNS to the hardware. If your router supports it (anything commercial grade or capable of running DD-
WRT or similar,) you can force it to redirect any DNS traffic to the Pi anyway.