Speculation is that Microsoft Edge will eventually include ad blocking capabilities either via extension or built into the software but in the interim Opera Mini delivers that functionality in a new update to their mobile browser on Windows 10 Mobile (and Windows Phone 8.1 as well).
The updated version of Opera Mini is now available in the Windows Store and can be downloaded immediately, They also make it very easy to implement the new ad blocking feature.
On Windows 10 Mobile I am not aware of anyway to make a browser other than Microsoft Edge the default like we can on the desktop so you will have to initiate any ad blocked browsing by starting up Opera Mini manually.
Any links you tap on in other apps will bring up Microsoft Edge as the default.
This gallery will take you on a tour of the setup and other key areas of the Opera Mini browser on Windows 10 Mobile.