I ran into an issue with Windows automatically launching msn homepage with my default browser after a fresh install of the OS. I found the solution here in case anyone else is running into this issue!
tl;dr - Windows tries to verify internet connection exists with msftncsi.com which is blocked by PiHole so Windows decides to kick off the default browser to msn.com to attempt again (or show a login for the local network).
Thanks for this hint, my Windows installations are older ones and not fresh, but I'm having the same issue: since using Pi-Hole, a MSN-Website is starting after login as if by magic. This really sucks.
For those who have to patch some more computers, I have uploaded this as a Windows registry patch.
Just download it and make a double-click 
Registry_patch (Admin edit: Confirmed this reg file does nothing spooky, be careful out there kids!)
Regards,
TAC
Does whitelisting msftncsi.com not fix this? It may be blocked by default, but it probably shouldn't be. That said, I don't want to get into the realms of whitelisting sites by default.
whitelist.sh msftncsi.com www.msftncsi.com (on your pi) should do the trick.