Did you change your Router's DNS server to point to the PI-hole IP address?
If you routers DNS address is 192.168.1.1 and your Pi-hole's IP address is 192.168.1.4 then you need to change your Router's DNS to 192.168.1.4. If you do not want to set it at the router level then just change your Windows PC LAN DNS address DNS to 192.168.1.4 and ipconfig /flushall IIRC.
But the ad blocking works?
I have not tried using the LAN DNS addresses.
FLOSS enthusiast, Debian user (linux-libre)