Thanks to XDA we have a really nice way of blocking ads on Lumia phones. This tool works on all Lumia handsets with micro SD card slot. This method also prevents ads in applications and games.
1) You must have an interop-unlocked handset with full file system access. To have full system access, download and install this on your windows phone.
1) Download the latest "blocking" hosts file, for example, from here
2) Rename your download from hosts.txt to HOSTS
3) Connect your handset to PC, navigate to \Windows\system32\drivers\etc folder
4) Paste downloaded HOSTS file, choose "replace" in the copying dialog.
5) That is it, no need to reboot like Android phones.
To revert back, simply delete \Windows\system32\drivers\etc\HOSTS file.