Some routers--often ones provided by your ISP--will not let you set a DNS server for your devices. You can still get use of network-wide ad blocking with Pi-hole. The solution is to disable DHCP on your router and use Pi-hole's built in DHCP server.
This usually requires you to disable DHCP on your router. But some models don't even let you do this. The solution then, is to go into the DHCP settings of the router and see if you can limit its address range. By letting it serve only one IP address (i.e. the IP address of your Pi-hole). Then setup DHCP on the Pi-hole for everything other network device.