Windows Copilot is an AI feature that launches in October 2023 officially on Windows 11. It may show third-party ads to users, which is a problem in itself.
I was finally able to get rid of the ads in Windows. I'm sure that it doesn't block everything, but editing the 'hosts' file helps. At least I don't see any ads in Windows anymore.
Here is an simple tutorial that I found on how to do so: